Lose the quick-release.

The majority of thieves are opportunists--meaning they're lazy. If something is easy to take, they will. If not, they'll leave it. Depending on your local thieves, something as simple as a bolt-on seatpost collar--less than $10--may be all you need.

I've gone the next step with a Pitlock through my bolt-on seatpost collars.

This, however, does not secure the saddle to the seatpost. But they also sell a seatpost lanyard that will.

The traditional method of accomplishing that is to use a section of bike chain threaded through the saddle rails and the seatstays. Don't use a master link, but insert a new pin using your chain tool. Most folks will run the chain through a length of old inner tube to protect the paint and keep the noise down. It won't deter the chain tool-equipped thief, but as discussed above, most thieves are opportunists.