To aid piece of mind, I'd hit Peter White, Urban Bike Tech, or another PitLock distributer, and pick up a full set of Pitlocks that protect both wheels, the seatpost, all brake bolts, and the stem. Pitlock key-nuts are pretty small, so you can carry the key easily almost anywhere -- jersey pocket. It also allows for someone to stick a rod through, so a small Allen head wrench can be inserted cross-wise, then used to screw and unscrew the skewers, if you don't feel like carrying the proper size wrench for it.
Once you get Pitlocks installed, you really don't have to worry about major component theft. The new bike is more of a target for thieves, so a NY lock is a must, and if you can (and get permission to), hang a chain on the rack when not there, so you can have two locks at your usual haunts, but only need to carry one.