When you start it up, an intimidating red menu item will appear:
To activate it, make sure your AC adaptor is plugged in, and click Start Monitoring. Turn up your volume and unplug your Mac to see what happens if you don't disable the alarm first.
Please note that CheapLock is trivially easy to defeat. It's a clever little hack that you can use if you're in earshot and you're worried about your little gem disappearing off your desk, but don't count on it to dissuade a determined crook. (If you're really that concerned about it, maybe you should chain it to something?) Read the README.rtf file for more.
CheapLock is freeware. Yes, you can hack it, but I'll leave that as an exercise to the reader (it's not very hard). However, you should really have Sveinbjorn Thordarson's Tapir to do anything significant as far as making your own version; please contribute $15 to his work, as Tapir is an exceptionally easy "menu-thingy" tool. You do not need Tapir to simply use CheapLock. Please read README.rtf for information about the license and building your own custom versions.
CheapLock is a PowerPC application, but will happily run under emulation on Intel Macintoshes. It requires Mac OS X Panther 10.3.9 or higher, and is tested on Tiger 10.4.7 as well.