If your Mac is stolen, you need to provide a way for the thief to login in your computer, so those programs can track your Mac, otherwise you are in trouble.
Perhaps you didn't put a password in your account to allow autologin. But this isn't secure enough. Or you need to create a guest account to allow the login, so you can put a password in your main account.
The problem is that every time your machine boots, you need to choose your user. It would be handy if your guest account would login by itself. But then you would need to logout first and after that login in your main account.
You just need to press and hold the Shift key during the boot ONLY when the Blue screen appears. It will disable autologin and you can choose between your accounts.
So you can put a password in your account, and enable the automatic login for the guest account.
To recap:
- Create a guest account and ENABLE automatic login for this account.
- Put a password in your main account
- At every boot ONLY after the blue screen appears press and hold SHIFT, it will disable autologin, otherwise you Mac will login with guest account for the thief and your tracking programs can do their job.
[crarko adds: I haven't tested this one. I think the need to login to the machine is the great weakness of some of these anti-theft programs. I hope when Apple implements the 'Find My Mac' option in Mobile Me this is not a requirement, but just that the machine can find a nearby open WiFi network to grab and send a location.]

