Nippy

Is it at all possible to lock the doors while you let the car run and warm up in cold weather? I own a 2006 Mazda 3 sport and, although its not too cold yet, I know its coming and if the door is open and the key is in the ignition, I cant lock the door. I understand its a safety feature so you dont lock yourself out, but I dont want to risk having someone steal my car while its warming up and Im back in the house.
Thanks