I lock just my rear wheel through the rear triangle, as suggested by Sheldon Brown. This secures the rear wheel, and also the wheel cannot be removed from the frame without cutting the rear triangle or the wheel, both of which would reduce or destroy the value of the bike and are more difficult to compromise than the lock itself. I use a mini u lock so I can't usually fit both the wheel and frame, and this is no more secure anyways. The mini u may be too small to fit some jacks that could be defeat a full sized U lock, and otherwise is just lighter.

I used to run a cable out to my front wheel to secure it, and recently got a pit lock front skewer and aheadset cap. I didn't get the rear wheel skewer since I always secure it anyways.