One way they get in to your car is by you unknowingly leave it unlocked.
I have read that one way they prevent you from locking your car is by using a signal jammer. You park up on your driveway for the night, hop out of the car & click your remote button on your key fob & head in to the house. You assume that the car is locked but in reality the remote never makes contact with your car due to interference from the signal jammer planted near where you park.
You can pick up a simple signal jammer for about €50. I have one for mobile phone frequencies, for test purposes. My one isn't even the right band for the remote key fobs yet it will still prevent the remote from locking the car when it is within a few feet of the car!
This is how they get in to your car without breaking anything. This is also why I recommend that people get the audible chirp on locking enabled so you know your car is locked.