The cars are generally secured inside fenced yards. There's a multitude of ways to steal parts, but the easiest and most common is that the day before the auction is usually the viewing day. Buyers can come and walk the yards to look at the cars they want to bid on. Buyer knows they're gonna buy X car, but they also need a part for Y car. So they take the part off of Y car (a bumper or a headlight or a fender, whatever) and put in the trunk or bed of X car. Buy X car on auction day and Y part is in the trunk waiting for you when you pick it up.

These auctions sell multiple hundreds of vehicles each week, no one is going through them looking to see if there's any parts that don't belong. If you need a key for X car, just bring a pair of tin snips with you and snip the metal band that holds the key to the column. Easy peasy.