i have a saddle bag on my seat with a quick release post. I just take the whole thing with me. It's either take the bag off, and risk leaving the seat, or just take the whole thing.

However, if i had an expensive saddle and no quick release, i would probably cover it with a cheap plastic shopping bag. Not only would it conceal the seat, but it would also make the whole bike look cheaper to an ameature, as opposed to a fitted cover designed for saddles.