The Protostar is a much better yoyo. The addition of the aluminium weight rings gives it superior stability and spin to the all plastic, light weight Onestar. You can get blasted Protostars as well which will be better for grinds, although having not played one myself I can’t comment on just how well they grind.
Don’t get me wrong, the Onestar is very cheap, and a good little yoyo for the price, so if you’re that worried about it getting stolen at least you can buy a new Onestar for a lot cheaper than replaying the Protostar. However price aside, the Protostar is the superior yoyo.
As far as people stealing it, keep it hidden away and out of sight when you’re not using it. If someone is the kind of person to steal a plastic yoyo they’ve probably nick it regardless of what model it is.