I didn't label my machine itself (I have the serial number written down at home with my receipt, so if there's ever a real question I can easily prove ownership), but I do mark my pedal & power cord, and things that I think might get mixed up with someone else's, like my Olfa cutter and my rulers. I don't worry about theft as much as I worry about confusion and mix ups. I only take classes with my guild mates and I trust them not to deliberately steal from me.
If I were taking classes with total strangers I'd probably be a lot more cautious.