^I read another story, I think it was here on TPF too, about a woman that was gassing up RIGHT next to her car with the windows down (car unlocked) and her handbag in the passenger seat. Someone snatched her purse from her car and she didn't even know!
IMHO, it's better to be safe than sorry. Even if I were ALONE at a gas station, I'd still take the keys out of the ignition and lock my car with the windows up. You just never know. It's better than looking back in hindsight and regretting not being more careful.
I'm super careful even though I don't have to even go inside the convenience store to pay for my gas (always use credit card). Even if I'm right next to my car, I'd rather not have to worry about some horrible person trying to steal my bag or my car.