I usually take my helmet with me, but when I don't...
I just hang mine on my bars, but I live in a town where I don't usually bother locking my bike either, and I have $300 worth of Dinotte lights on the bike that aren't locked either. So my method probably isn't of much use to others.
But if I were locking up and wanted to leave my helmet outside, I'd just put one of the straps through the U lock.
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Work: the 8 hours that separates bike rides.