Sheldon's method works, but it looks like it doesn't work, and people will probably try to mess with your bike just because it looks like it's an easy job. I try to lock a piece of frame or something in with my wheel. Sometimes I can't get around whatever I'm locking to, so I use a cable. I've also carried multiple u-locks on occasion.

Edit: Just saw Alex's post. Agreed. I also think naterod had an encounter with someone trying to force his rear wheel off once.