Booby traps that can cause physical harm are pretty much illegal everywhere. So while it might be incredibly satisfying to find a smoking corpse next to your laser projector, the local police (who are usually responsible for cleaning up and documenting the mess) are unlikely to be amused.
As others have pointed out, most GPS trackers require a cellphone account to report their location. And even if you spring for the tracker and associated phone plan, the local police might not consider it a priority to collar whoever took your $40 projector.
My suggestion is to rig the device with tamper switches so if anyone comes near it, a bunch of floodlights and sirens announce their presence. Most petty thieves will soil themselves when they realize they've been made in such a dramatic fashion. And isn't that what you realy want?