There are more drastic options you can do which will make your bike less stealable. Bicycling magazine had a pretty good piece (which I can't find) on how to protect your bike from theft when you have to leave it unattended while on a road ride (which means you probably don't have a lock with you), and I feel that a few of the tips really help ease my mind when I have to leave my ride unattended for a long time.

In addition to using a very durable u-lock (or two), you could unfasten the quick release skewers after you lock it up so that if someone tries to ride off with it, then the wheel might pop off, and they'll probably ditch the bike. This may cause some damage, but I'd rather replace a $70 RD than a whole bike.

Another trick is to shift into your lowest gears before you get off your bike. Then, after you've used your very durable u-lock (or two), shift them into higher gears. Not the highest, because that would put a heavy horizontal strain on both the chain and sprockets, but just high enough that if someone were to start riding off (assuming they busted through your very durable u-lock or two) then the chain would skip, and the whole drive train will freak out, which would then freak out the thief who is now unsure he/she can make off with your ride, and probably ditch it.

Like I said, these options may cause damage, especially to your drive components, but replacing parts is better than buying a whole new bike.

Now, these tricks mean nothing if the thief(s) are using a truck to just cut locks and toss em in the back, so your first move should just be to buy a crazy lock. Someone above suggested an O-lock, which is great, but if you were to also throw in a Kyptonite NY Fuhgettaboutit then you'll be sitting pretty secure.

But your best option: Get as arrogant and confident as possible, and just bring your bike inside with you wherever you go. If people give you a hard time, then make them feel like it's their fault for not having secure bike parking.