Really? Actually, let both locks secure it to something.

Using the U-lock to immobilize the bike but not secure it to something is of some use -- somebody isn't likely to ride the bike away -- but it's of limited use, as they'll just carry the bike away after cutting the cable lock. That said, U-locks are a good deal harder to defeat than cable locks, especially if you have a good one and it's a mini one (the minis make it harder to get a jack in there.) If you use a U-lock or two and use them properly, the thieves will likely just steal somebody else's bike most of the time.