Tip one:
Even though it is not possible to get every supply to your location when you want it there are some things that you can do to help get it delivered during a better time. A great place to start is to try to coordinate the delivery of materials with when they are going to be used. What this means is try to have the supplies delivered as close to the time you will be using them as possible. If you can do this successfully the materials won't be on site for very long before they are used. And the less time they spend on site means they have a far smaller chance of "being misplaced" or walking away. Coordinating such deliveries is especially important for items such as drywall and windows, as they are easily breakable and are in demand.

Tip two:
After you have had the supplies delivered you are going to need to find a safe place to keep the materials. One thing that you can do is to rent a lockable storage container or trailer. This is highly important because it will allow you to lock up your valuable supplies at night. But when renting one of these you don't want a container that is code lockable because codes are easy to find out. Instead you are going to want one that uses a key, and you want to make sure that you have the only copy. What you will need to do is to park the container or trailer on site. And if there are certain materials that you need to store for a while, you have them protected and locked up. Then each morning you can go to the site and unlock the trailer or container for your subs, but that means that you will also need to come back each evening each to lock it back up. This way you don't have to worry about subs being the perpetrators of theft.

Tip three:
Stack your lumber flat and don't worry about unbundling it until you need to use it. This makes it harder to steal, and keeps it together, and protected until it is going to be used. The reason that keeping it bundled makes it harder to steal is that in order to walk off with it they will need to cut open the bundle which will be noticeable or they will need to undo the bundle which will also draw attention to the theft.

Tip four:
Another thing that you can do is to make sure that the construction site has plenty of light. If the area is lit up people who are trying to steal will be noticeable so they will choose to go elsewhere. If you are building in a neighborhood having flood lights on at night might not be a viable option so you can install motion sensor lights instead which can alert the neighbors or passing cars to something being wrong. It also helps to deter the criminals because they don't want to be seen.