HAH funny that you brought this up. The jetskijunkies just had a facebook discussion on this subject.
1. coupler lock (the one that has a ball into the coupler)...but make sure the coupler is welded to the frame...not attached by bolts
2. chain and lock as you suggested.....but big bolt cutters can cut it.
3. Chain the ski to the trailer and the trailer to the car (see #2)
4. Sleep on the ski.
5 hire a guard
6. IDK if they make a motion alarm siren .....maybe just attach it with magnets to the trailer
7. GPS alert like the car companies have....so it can be tracked if stolen
8. make sure you back it up into a tight spot inbetween cars or/and buildings
9. ask the resort if you can store the ski in the pool overnight.....OK OK Just kidding on this one
10 park in the police station parking lot
Actually the more locks you have the tougher it gets to just walk away with it in a short time. Time is the thing thieves don't have to waste.