I think Raybo said it all for me; the only thing I never leave on a bike is my wallet/passport/phone sort of thing. There are other common sense things you can do too -for example when eating out for breakfast on a tour, I always like to sit near the restaurant door with a very good view of my bike (often not locked up depending on the area anyway, and if I'm a little unsure, I put the shift lever into the top most gear position, but with the chain still in the middle ring/cog sort of thing). I pretty much do exactly as Raybo -I don't like to leave my bike out of sight, and I do leave panniers on usually (again depends on the area). However, I remember touring Germany and at a town called Marktredwitz I left my bike locked up and out of sight but left one pannier on (it contained my dirty clothes, toiletries, food sort of thing) but carried the other pannier bag with me that contained my nice tent and sleeping bag that would have been very expensive to replace. I never did have a problem anyway.....
Not that these are guarantees against theft, but if you have to leave your bike locked up, lock it up somewhere with a reasonable lock where you think it might make a bike thief hesitate -the front of a police station, in good public view, or where someone else who you trust can see it. Take the saddle or front wheel with you if you can, remove any easily removable items such as pumps, cyclocomputers, etc. Sometimes you can actually leave your bike with someone too.
I don't think there are any guarantees against theft, you can only use common sense to make it less likely and hence possibly more difficult to the thief. I suppose to me, the rule is always to prevent making it very easy to a thief if possible.