1: Your real good bike, you should bring inside your place of residence [1]. Inside, as in the residence, not in a courtyard, balcony, or garage. This covers two things. If someone breaks into your home, homeowner's or tenant's insurance would likely cover the theft, which may be otherwise not claimable. Second, a thief entering a home is facing a lot more criminal charges than just stealing a bike.
2: Have a commute bike, something that you won't be totally financially ruined if it gets stolen. Buy Pitlocks from the site listed by Lurker1999. Install them. Find a locking style (Sheldon Brown style, mechBgon style, whatever style balances your piece of mind versus time locking/unlocking and time lugging locks.)
3: Make sure the object you are locking your bike to isn't something easily cut, or your bike able to be lifted off. Parking meters are a good example of what to avoid locking your bike. So are signs where the sign can be easily removed. So are the circles welded to posts which people wrench off with a 2x4 or other lever.
4: Worrying about bike theft is important, but don't let it consume you.
[1]: A neighbor had two bicycles which were in his locked courtyard stolen recently. Courtyards or porches help, but at the minimum, slap some type of lock onto your bike so its not an easy smash and grab.