In any transmission scheme, security against eavesdroppers is of importance. Contrary to classical encryption, security directly at the physical layer can be achieved by applying suited coding and modulation schemes. In this paper, coded modulation schemes, i.e., the use of higher-order constellations, is studied for generating both security against a wiretapper and reliability for the legitimate user. Specifically, a multilevel coding (MLC) scheme is considered. The influence of the constellation, in particular its cardinality and its dimensionality, on the gained security is assessed. As LSB component code, a practical secure coding scheme based on punctured LDPC codes is used. The security level for the employed LDPC code ensembles within MLC constructions is examined with an adapted density evolution technique. Results from numerical simulations cover the theoretical considerations and match with the derived asymptotic behavior. The results are compared to the situation when straightforwardly applying a binary code according to the BICM approach.