Multiple locking methods. For my all-around bikes, I usually use a U lock for the main frame/back wheel, and a smaller cable for the front wheel, etc.
My fatbike tire is too large for a U lock, so I just use a big, thick cable and a maximum security lock. They're heavy, but then again, on a fatbike, an extra kg isn't going to make much difference.
Finally, if you're that concerned, get a folding bike. I just fold up my Brompton and carry it inside - takes up only slightly more room than my backpack.