There isn't a week that goes by without someone posting about a stolen bike on midnightridazz, but most of the time the bike was poorly locked (cable lock) or unlocked, even for the shortest amount of time. There have been a few reported instances of u-locks having been cut, but these are rare cases and there is nothing you can do. The most frightening thing is when the thief breaks into a home just to steal a bike.
With the whole fixed gear craze it seems Sheldon's method is valuable because everyone wants fixed gear wheels. The thieves probably want the wheels more than the frames because wheels will sell easily. If you have a nice bike all around, track or road, I guess lock it as well as you can or never let it leave your sight.