Good luck with that...
The GPS on my car gets stupid (goes to internal dead-reckoning) the minute you drive the car under something. GPS signals don't seem very robust. I suspect that simply wrapping the Baby Jesus in tinfoil or something like that would pretty much end the usefulness of the tracking system.
Something using cell phone signals might be more effective, or better yet, just fix Baby Jesus up with an exploding dye pack, preferably a red one for theological symbolism.