Quoted from Circus_Animal:Put nyloch nuts on the leg bolts inside the cabinet. Much harder to manoeuvre/transport a game if you can't take the legs off
I am no expert on the subject but a few ideas...
If you had several machines you could use the leg bolt idea from Circus Animal and then in the back use some cable (on the legs) to link them together. Maybe install a smaller door and frame to the room after you have it all setup. Or if you have an alcove use pinball skates maneuver all of your pins so they are wall to wall and the would be thief(s) would only have the front of the machine for leverage.
The Home Alone movie method...fill the cabinet with marbles so when they open the coin door they spill out and/or coat the basement steps with tar 
