A comfortable folding chair, some reading material and a portable reading light, and/or a portable radio with an earphone (not headphones, you want to be able to hear what's going on around you) - 8 nights with nothing to do can get pretty long.
I would second the advice to take a baseball bat (or cricket bat, I suppose <img src="images/graemlins/smile.gif" alt="" /> ) - I wouldn't go looking for trouble, but if the thieves decided to come after me, I'd want something that would make them think I wasn't such an easy target. If your back's to the wall, the police are on their way, and you have a big heavy club in your hand, then they're going to leave you alone; or at least, one of them is going to have a pounding headache on the way home <img src="images/graemlins/wink.gif" alt="" />
A portable phone (cell-phone) programmed to call 999 would be a good idea for at least one of you.
Decide in advance what you're going to do with the thieves if you catch them. I wouldn't try doing the "citizen's arrest" routine, I think your choices are between quietly calling the police or trying to scare them away.
If the thieves stole £40k worth of marquees, they must have had a truck or van to carry the loot. Examine the exit routes - can they be blocked off? A spiked belt laid across the exit would mess up their getaway; however, I would be very, very careful to check the legality of this beforehand (make sure you're not breaking any laws by doing so, because I suspect you would be). It wouldn't be difficult to make; I imagine a plank of wood with long nails driven through it and sticking out at a 45 degree angle would even form a "one-way" barrier, so cars entering the grounds wouldn't be damaged, only cars trying to leave. (But I wouldn't want to test this on my own car, and I would definitely check with the police on the legality of it. <img src="images/graemlins/crazy.gif" alt="" /> )
My approach to Threat-Risk assessments breaks security up into three parts - threat, vulnerability, and asset value. It's like the fire triangle - reduce any one of these and you reduce the risk.
Threat = a burglar; Vulnerability = an unlocked window; Asset = your silverware. Risk = a burglar comes in through the unlocked window and steals your silverware.
You can try reducing the asset value - spray paint your name on it in big purple letters to make it harder to resell. (This may not be an option, but most hotels used to embroider their names on the towels. Same idea.) You can reduce the vulnerability (e.g. Lock the window.) Or you can reduce the threat (e.g. Increase security patrols.)
Try thinking like the thieves - examine the area as if you were going to burgle the place. How would you get in? How would you get out? What is there worth taking? How difficult would it be to carry? How big a truck am I going to need to haul it away? How am I going to deal with that big black Labrador retriever? What could go wrong? (In your case, what could you *make* go wrong for them?)
Look for a way to slow the thieves down, especially hidden ways that they won't see until it's too late - this may break their rhythm and have unexpected results. I read once about a fur storage warehouse that kept getting broken into. Nothing seemed to work - the thieves had it down to a science. They came in, setting off the alarm; grabbed a handful of fur coats off the rack, and were gone in under 5 minutes, long before the police could respond.
Finally, an imaginative police officer suggested that they shouldn't be hanging all the fur coats up with the hooks on the coat hangers facing the same way. They rehung all the fur coats with every second coat hanger turned around - half the coat hangers faced inward, half faced outward.
A few nights later, the alarm went off. The police responded as usual, and just about killed themselves laughing when they arrived. There were the thieves, cursing like mad <img src="images/graemlins/mad.gif" alt="" /> about the "stupidity" of the warehouse employees, as they laboriously removed the fur coats one at a time from the rack.... <img src="images/graemlins/cool.gif" alt="" />
You're not dealing with rocket scientists here <img src="images/graemlins/confused.gif" alt="" />
And always remember, your life is worth more than a canvas tent <img src="images/graemlins/wink.gif" alt="" />
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"The mind is not a vessel to be filled but a fire to be kindled."
-Plutarch