Yeah, but cash isn’t safe either! 
Slightly off the current topic, but addressing the OP, none the less:
I don’t sign on the little machine reader. This occasionally gets me hairy eyeballs, but when I see the boxes I tell the cashier that I won’t sign into the machine, and they do something different to get me a paper receipt. I know that someone could copy my signature from the paper copy using a photocopier or just plain old fashioned paper and pen, but I assume that the store has inhouse security to keep that sort of thing from happening.
What I am not so sure about is that somebody from the outside[li] isn’t going to break into the system and yoink grab all of the digitized signatures in one swell foop. [/li]
And loyalty cards just seem like capitalizm run amok to me. If you want to get the “discounts” without the store tracking you, ask for the application to fill out for later. They’ll give you the card with no name or information attached to it, and you just don’t ever bring the application back. There, no problems.
That’s my two cents.
Tenebras
[Footnote: read as: some 12 year old hacker or something equally paranoid and ridiculous.]
I too was one of the paranoid about those little electronic boxes. Did the whole give me a paper receipt thing. Then got tired of that (A lazy paranoid, that’s me). So I started signing with a signiture nothing like my own and very messy too. Nothing happened, so my signature got worse and worse and still no one said anything. I now sign those little boxes with a big X and no one ever questions it. So what is the point of signing at all?