Be careful if you remove the front wheel since it's a bit easier for the fork to get bent if you leave the bike unattended with the front wheel removed. It's not necessarily a bad idea to remove the wheel as long as you're careful about this.
I personally just secure the front wheel with a cable *in addition to* locking the rear wheel and frame to a good, secure and stationary object. I simply won't leave my bike unattended anywhere I feel this isn't sufficient to prevent theft. Another option is to get a theft-resistant security skewer like a
Pitlock to keep the wheel safe.