This '2-part set' from Pinhead will lock your wheels:
http://www.amazon.com/Pinhead-Bicycl...3470261&sr=8-2

They also have more expensive sets that lock your wheels, saddle, and headset. Those are probably overkill, but a saddle leash from bikeregistry.com is a good deal for $3:
http://www.bikeregistry.com/estore/p...868044f05f500c

If you do end up ordering the saddle leash, then spend an extra dollar for the decals. That will make your bike easier to identify and recover in case it's ever stolen. You can also upload photos of your bike to that same website so that you have documented evidence that your bike is actually yours in case a thief claims that he bought it used or something when confronted after putting it up on craigslist or selling to a pawnshop.