Hey nicoth, this is an opinionated issue. There are many ways to lock your bike effectively, and doing so hopefully makes other bikes preferred targets (sounds bad, but that's the reality). And yes, any bike, regardless of how it's locked can be stolen quickly, if one were determined enough.

To answer you question though, yes, the back wheel is more expensive to replace than the front wheel & it does not take much more time to remove, so it's better to lock that one. Chains are effective locks but also very heavy to carry. Go to a bike store and feel the weight to see if you want to add that to your bicycle. If you want to keep using a u-lock alone, there is always the option of putting locking skewers on one, if not both of your wheels, instead of the quick release. A lot of people in metropolitan areas do that. Also, not all u-locks are created equal. Some are better than others.

Ultimately, do what suits you & your lifestyle best, weigh the pros/cons of the different arguments, (of which there are many) & be mindful that nothing is 100% effective. Good luck!