another thing to do, is to make your bag obvious...what I mean, is make it so that it stands out. I mean think about it, how many peeps are carrying gear bags in a paintball shop? its like seeing people carry luggage at an airport.
tape your bag up with neon tape or something, so that it stands out in a crowd, so that if somebody grabs your whole bag, you or your friends will have a better chance of spotting it in the crowd.
and tape something with your name and a number or word, that you know underneath the tape (hide it- but not your phone number or address). that way, when you go to reclaim it, and they say that it is theirs, you can say "theres a tag with my name, and a password taped in it"
locking it down with the bike chain isnt a bad idea either. it might look kinda funny, but I'd rather be laughed at, than have my stuff taken.