when I ride in a group I rarely leave my bike, so I don't bring a lock. If its a long ride there is usually a stop at a quick-mart or somthing like it and I just leave my bike outside with all the accessories on it. Typically because of varying speeds there will always be at least one cyclist outside. Ofc, I ride in the midwest where theft is generally low. I'm not sure what the situation is like in CO.
If I'm riding alone I put a seat-saver cable and a padlock in my saddle bag to lock my bike to something on the c-store when I pop inside. It won't stop a dedicated thief, but will stop the "hop-on-and-ride-away" type theft.
If it's a club ride with a small group at a rest stop, we'll all be watching out for each others stuff, but I take my valuables (keys, wallet, cell phone, camera) with me.
If it's a big group ride and I'm in the midst of the group, I'm comfortable leaving my bike for a few minutes but I still take my valuables.
If there are civilians (non-riders) around I might lock up, especially if I'm near the edge of the group.
I ride a mix of city and country. DC, Baltimore, New York City. In several dozen group rides I've never had my bike messed with.
Have to mention that I have an older, not too expensive bike, that is not a high target item. If I had a multi-$1000 model, I might act differently.