IMO deterrence is better than GPS. Tracking down your bike after it's stolen seems a lot more work and risk, and who knows what condition your bike is by the time you find it again. Get a couple of good locks, use the Sheldon Brown locking techniques.
When you say "at any cost" what do you mean? If not getting stolen was the most important thing I would get a good folder and never lock it up. In my experience you can bring your folder in practically everywhere. Especially if you get a bag to put it in, it no longer looks like a bike so you can carry it or check it just about anywhere you go.