Sheldon Brown comments that using the two concurrent methods works best as a thief needs two different tools to steal your bike.

A thief with bolt cutters will look for bikes locked with a chain/padlock. A thief with a grinder or hydraulic jack will look for a bike locked with a u-lock. If you use both, most thieves with only one tool will move on to an easier target. He also comments that the smaller the u-lock, the more difficult it is to actually utilize the tools necessary to defeat the lock.