T.,
As a Mom who also goes out for a run or to the gym early in the morning I understand how you feel. However, have two seperate issues here, one is to make sure your 5 and 2 year old can't get out of the house w/out an adult knowing. Please make that a priority first. If my kids got out, I wouldn't worry so much about someone bad picking them up as I would about them being hit by a car. My kids are 5 and 3. The only way out to the front at my home is the front door, we have a latch that the kids can't reach so they cannot open the front door w/out an adult. So, get a latch or whatever you need to keep your little guy inside and talk to him about not going outside w/out an adult.
Secondary is your "stranger danger" talk, my daughters preschool did a really good segment on this but way before preschool, I'd say around the time she was 2 we got the DVD Safe Side Super Chick, it was created by John Walsh (Adam Walsh's Dad) and the Mom who created Baby Einstein. It is a fun animated video on teaching kids how to stay safe. Remember - it is usually a family member or friend that hurts a child and not a "stranger" that is why most tools these days prefer us not to tell our kids to watch out for strangers. But rather use other language, like in this video's case, "Don't Knows", "Kinda Knows", and "safe side adult" I feel both my kids have this video hammered in to their heads/memory, and they do well when we roll play but make no mistake, they are young/naive/innocent, all the training I've done might go out the window when a nice woman or man approaches them w/a puppy and asks them to go to their car. I would hope they wouldn't go. All I can do now is not put them in that situation, when we are at the park or any public place, my eyes aren't off of them.
**added: I just looked at my video - I didn't know it was called Stranger Safety! LOL, I had it in my mind that they didn't use that word. Anyway, it's Safe Side Superchick in Stranger Safety by Julie Clark and John Walsh. It's a MUST HAVE!!!! You can get it a Amazon.com
Hope this helps,
M.