I have my seat covered with a locking bolt. Those are nice, because you can also get them for the wheels and save having to bring along an extra cable or worry about the wheels.
As for the panniers, I used to take them inside, but now i'm using an Xtracycle and it isn't a convenience, I don't think the freeloaders are a big theft target but we'll see. Its been 2 months and they're untouched as of yet..