I use a Kryptonite Evolution 4 Series U-Lock around my rear wheel with a cable wire attached to both ends of the U-Lock and wrapped around my front wheel.
I have the luxury of parking my bikes at the Cycle Center in The Loop of Chicago, so, I am not as worried when I take my bike downtown. When running
around the neighborhood or other places of interests (read: grocery, shopping, leisure, and entertainment) the above is how I lock my bike up and try not to
walk too far away from my bike so I can keep an eye on it.

There are other little things I do like take the seat and seat post with me, and both skewers. I am still new to commuting and learning the ropes so I am
always trying to come up with convenient ways of protecting my bike. I am sure there are a lot of things people do and one suggestion is to read through
the forum... I am sure you will find LOADS of info!