I always put my bike in rear wheel first if it fits w/o hitting the rear derailleur. The bike sits stable since the rear wheel doesn't pivot. You'll either need a cable lock or two U locks - one for rear wheel/bike frame/bike rack and the other for front wheel (locked to downtube).
Or, you can put it in rear wheel first, take off the front wheel and place it along side the rear wheel. Then, put a lock through both wheels, the frame and the rack. Easy and quick if you have quick release on front wheel. Much more stable too.
Looking at the photo linked, the lock is almost worthless used in that manner. I guess it will prevent the bike from being ridden away, but it's totally easy to remove the bike from the front wheel.
Last edited by Camilo; 01-05-11 at 03:46 PM.