On my first car an auto sparky used one of those when I complained that the keyless entry they installed didn't have a audible sound. I didn't like it you can't really hear it if locking from a few meters away.
Would be better off installing a proper siren speaker under the bonnet, wiring through firewall then tap into the lock wiring at the BCM under the steering column. Might not be a bad idea to use a single pole relay as I'm not sure what the max current draw rating is for that circuit. Would hate to fry part of the BCM for the sake of a buzzer.