I have an insurance rider that covers the bike. I will get a police report when it gets stolen. I wouldn't buy a bike I couldn't afford to lose. I have registered the serial number with the cops. There is a point at which worrying about losing the bike is worse than losing the bike. It's just a bike, they're like women. As much as you hate to see the old one go there's always a newer, sexier model available. "Don't be too careful."
On tour I talk to locals (often stop in a bike shop just to ask) about security. They know because a lot of bike theives work in bike shops. Think about it. Often talk to local cops when on tour. I have asked to lock up my bike in front of police stations. Not jails, that's where the criminals congregate. I am constantly judging the security situation of the environment and adapting my behaviour accordingly, and not just for the security of my bike.
I look for surveillance cameras when selecting a parking spot. You'd be surprised how many outside places are being watched. I think theives are becoming more camera shy.
I fold it and run the lock through as many parts as possible if I'm nervous. If possible, when nervous, I fold then lift the bike up as high as possible to lock it up a pole or tree or sturdy fence. Might as well make the theif uncomfortable while he works, and who knows? Maybe he's not wearing safety glasses while he works my lock with his angle grinder and a metal shard will fall into his eye. This also tends to save your front wheel from being smashed by errant drunk teenagers.
I will and have carried inside but being inside is no guaruntee; sitting unsecured just inside a doorway is not safer than locked just outside a doorway. I keep my bike clean so that is more likely to receive an invitation to come inside.
I tend to select dark, hidden, low traffic areas over high traffic areas for parking based on the thought that a theif will need tools to remove my bike, and if he is carrying tools he will be looking for bikes to steal and he will be looking in places where bikes would normally be found. The theif must see the bike before the theif can steal the bike. Probably most bikes are stolen from bike racks, eh? Think like a fink.
I have used the German backpacker "schmutzsack" trick and covered my folding bike with a garbage bag while locked outside.
There are other trickier tricks that can be employed but they wouldn't be so tricky if everyone talked about them on the internet. Use your imagination.
And, I do that Rick Steves thing and have a nice sweet note tucked inside my saddle reminding the theif of just what he is and just how Karma works, in case he has forgotten.
Last hot tip: before you lock to a pole look down at the base of the pole and see if it can be unbolted, pull up on the pole to see if it can be lifted, look up the pole to see if your bike can be lifted over it.