I've had my Thule rack for over 17 years and really like it. As I get ready to add 2 more mounts to it, and the associated wheel racks, I'm re-evaluating wheel security. The bikes are locked to the rack (and rack to the car) via the Thule locks.
Ideally the wheels (and bikes) would never be left unattended. But this is not always an option. How do you secure your wheels when they are on the fork?
PS Hope this is the best forum for this. If not, mods please let me know.
I use a standard 6-foot cable, the braided flexible kind with a loop at each end. Pass one loop through the other around some locked part of the rack and pull it up tight, so you have almost six feet of cable to work with. Thread the free end through the wheels (I go through the frames, too) and around a crossbar or tower on the other side of the car and lock the loop to the standing part of the cable. If you have slack in the cable, you can wrap it around a BB or whatever's handy.
I use a cable as well. I also lock the bike. The locking bits on the racks are really just keyed safety catches and offer no viable security outside a five minute potty stop. If it's overnight and the bike has to stay on the roof I take some pretty draconian measures with a U-lock.