I carry my panniers in with me.
I have two different kinds of panniers: the ones I use for commuting/touring and the ones I use for shopping. The ones for shopping double as useful shopping bags. But, sometimes I stop at a store on the way from work and I'll have my commuters on the bike, I carry them into the store, get a cart, and drop 'em in it.
I pull my cyclometer off the bike and drop it in a pannier. I usually leave my lights on the bike.