If I'm going to be quick (5-10 minutes) I'll leave the panniers on the locked up bike. I was warned by the LBS when I got the bike that lights disappear fast lately, so the QR front and rear go into a pocket along with the computer. I usually don't even realize I still have my gloves on until they mess with using the touch pad at checkout. (I usually ignore the stylus-on-a-string.)
If I'm going to be a minute, I'll take the panniers with me. Mine can be attached at the handles, so I just throw 'em over a shoulder or carry 'em like a briefcase. Most stores around here look at me suspiciously if I'm walking around with my panniers (theft risk?) so I usually just leave them with the bike.