The last time I renewed my CCW permit, the instructor went into this. There are certain places that a CCW (or anyone elxe) can't carry legally, and it seems that some of them have had their firearms stolen when they left it in the car/truck.
While the instructor didn't advise leaving a gun in a vehicle, he also knew that there are times when you have to leave it somewhere. In that case he suggested using a cable type gunlock to lock the gun to something in your vehicle (I.E. the base of your car's seat).
A locking glove box isn't a very secure place to leave a firearm. Once someone's broken into the vehicle, it doesn't take much to pry open a glove box. The cable lock isn't much better, but it may slow them down a little bit.
~Rat