I'll concur with lagging into studs/joists. That will make it awkward for them to take off with the whole safe. But those safes aren't particularly well fortified against someone with a flatbar and sledge hammer popping the door open, so there's still some concern there. I have a light duty safe in my closet as well. I added things like metal racks/shelves all around it on the sides and protruding past the front of the safe. I left enough room for the door to safely and easily swing open, but getting any kind of good angle to attack hinges or the space between door/frame is largely impeded. You really can't come at it it from above or sides with a flat bar to pry it open.
Of course, someone can simply rip down the shelves, but it's all about making more work for the bad guy to get at your goods. I made it a PITA. It's not impossible to break in, but it is trickier than if I had just bolted it down. Oh, and I did lag mine into the floor joists, and then built up a little raised lip around the bottom of the safe, so that, yet again, it's more work for someone to get at the bottom of the safe to pry it up.