I've seen videos of people "bypassing" the sheldon locking method by hacksawing through a wheel...

but in reality it would probably be too much work (especially with deep profile rims), and and they'd also be damaging what is probably one of the most valuable parts of the bike, so I don't think any thief really considers it a worthwhile thing to do.

they just like to go for the easy swipe. Anything that can be removed with with a 15mm wrench or, at most, an allen key. Make sure that the wheels and saddle are secured to the frame, while also keeping it secured to a post or rack, and you'll be ok.

It also depends on how long you'll be away from the bike and if it'll be out of sight or not. Sometimes I just ride around with my small Kryptonite Evo. Other times I travel with that, plus a Krypto New York lock, plus a cable and tie up like this:



Only one robbery attempt so far, and they gave up when they realized it was going to be way too much work.