I just noticed tonight that when I lock the doors on my 2003 f150 supercrew (just purchased used), the headlights blink once and a red "theft" light on the dash blinks. All that was given to me was two sets of keys with no remote. Is this really an anti theft system and I need the remote? If so, how and where do I get one?

 

I think all you have is the keyless entry. The theft light in the instrument cluster is for the SecuriLock PATS system that requires the right key for the truck to start, and it should be on all the time when the key is not in the ignition. The headlight flash is to confirm that the doors locked, which could be done from the remote if you had it. One way to make sure is to leave the window down and lock the doors from inside as you get out, then reach in the window and open the door. If the lights start flashing and the horn goes off you have the anti-theft alarm.
You can get a replacement remote from e-bay and I think they include directions to program it without going to the dealer.