...always connect to the battery up (neg 1st) before you plug it in to the mains, that way you mostly avoid the risk of sparks at the terminals which could ignite ant nearby flamables. (epsecially hydrogen which is given off from some batteries when on charge)
I had mine taken out as it was a pain in the arse, I think they only reduce your insurance by a small amount, personally I'd rather pay slightly more and know there's no pissing alarm or immobiliser to leave me stranded somewhere.