An alarm may have annoyed them but would it have actually prevented the theft. These days so many people hearing an alarm going off just think of it as a nusuiance and take no further action.
As I have said security is a process of layers, there is no single preventative measure and a determined thief is hard to stop. What you can do is to make it difficult and time consuming, they do not want to hang around too long as it increases the chance of detection. Your power tools are probably the main target, easy to take, transport and sell so make it hard for them. I have already said that a branded, defaced tool is functionally the same for yourself but has little value to the thief, Smart marking is also a valuable detterent.
So they have managed to get into your workshop, yes I know it is nice to have all your tools nicely layed out ready for use but that makes easy pickings for them so use a secure storage vault within your workshop where you put all the expensive portable power tools, infact use a couple because each one requires time to attack, don't leave all your tools in one basket! but leave some cheap Lidl wonders and the like laying around so they have something to take, they may well just grab and run. If you really want to go that extra mile and think its worth the expense then the marking systems like Smartwater also do spray systems designed to cover the thieves and prove they were there.
SmartWater® Forensic Spray System - Moore Security Systems Ltd