Also, "Out of Sync." Season 7. This is the one where Dana Delaney, his short time fiance from the episode, "L.A." flys over to Hawaii to see him.
His client, a bimbo porn star, convinces TM that her life is in danger. She steals his car.
Yes the Ferrari was stolen in "Out of Sync", but the episode he is looking for is almost sertainly "Almost Home" where the Ferrari is used as bait to find a wharehouse where "some tycoon type" stashes his "loot" before passing it on. His mainly deals in sportscars and that's why the Ferrari is used as bait.
So I made a Topic Page about Magnum, P.I. Check it out here.