Usually shop at a suburban Meijers between 3-6am. Bike rack is right in front of the windows. Transit metro panniers are always on the bike. Both wheels and seat are QR. I take my lights in with me; the helmet usually goes in the pannier while I'm shopping. The panniers easily hold a gallon of milk +$50 groceries. No problems yet but I'm sure my luck will fail eventually. Don't know if the my bikes dork factor or the highly visible bike rack have kept everything intact.
If I had to remove my seat and panniers or even wheels every time I lock up I probably wouldn't want to ride.