Make it mechanically difficult to remove the bulbs in working order.
Take a dremel tool and score the glass where the bulb narrows.  Make the
line around 1/2" above the base, and get some cheap tongs and rubber
coat the ends so you can grab that area near the base to tighten the
bulbs.  Make the cut just deep enough into the glass to weaken it so
that pretty much all break on trying to remove.  You don't care if they
break when you replace them, and when they can't get intact working
bulbs they will stop trying.  You want to make them fragile enough so
even if they use tongs to grab the base they would still be likely to
break them in transport and handling.  Maybe even score some lines up
over the blub as well, so it will break and cut them that first time
they grab one and don't know.  Once bitten, twice shy!  Just make sure
and do a test batch first to tell if the scoring shortens the life of
the bulb..