There are skewers for seat post clamps that use a proprietary key... Pitlock comes to mind. Of course, that wouldn't stop someone from detaching the saddle (and/or the attached bag) from the seat post. A ball bearing and some hot glue in the bolt hole is usually enough to deter most would-be thieves; they may be armed with an Allen key, but it's doubtful they'd have the tools or the time to dig out the glue. There are also security bolts if you know the size and pitch of the bolts you're replacing; I like these ones. As for saddle bags I use a QR one that I take with me when I lock my bike. Of course, it's nowhere near as classy as yours.