Here in Edinburgh, UK, I use a Trelock BS610 D-lock (the good one) and a Krypto-Flex cable to secure the wheels. All quick-release pins on things like seat-posts have been replaced with bolted ones. Of course, you'd need to attach it to a fixed object too, as you know. You'll never deter the professional, just the casual thief.
So far (touch wood), after nearly three years of city riding and storage, my 80's Kona Cindercone MTB with the custom "bird-barf" splatter finish has been untouched... well, the lock was investigated and passed by on at least one occasion because I always put the rain-flap down over the keyhole so I noticed when it was in a different position when I got back.
As Will Turner in Pirates of the Caribbean said... "Not where I left *you*!"