I have an OnGuard U Lock (a shorter one, but not a mini) with a cable. I just hang it off my bar ends when I ride and wrap the cable around my shoulder/neck like a messenger bag. I usually secure just the frame (downtube) to the rack, and only bother doing the cable around the wheels if my bike will be there awhile, or if there are very few other bikes there.
I keep my commuter bike at my desk at work so it doesn't need a lock. I just use my lock for my mountain bike when I ride to the train station.