I lock my bike with a U-lock through the frame (sometimes the back wheel too) and a cable that goes through the front wheel and is connected with the U-lock. Nothing on the bike is quick release. I've locked bikes in this style in East LA and East London, day and night, in safe and in totally insecure places and never had any problems. The cable is more of an extra deterrent than a security measure, but really I think having two locks on your bike does the trick because it just makes it look like more work even if it really isn't that much. As for carrying around the weight, I put the cable around my waist and the U-lock on the frame or handlebars (no actual attachment, I just lock it on) so I never have to carry a bag with me or anything like that. If you're going to pick a wheel, I would pick the back one, simply due to the expense of replacing it. Best of luck!