Uglify your best friend. I know it sounds hard, with that cool slick piece of work you ride. Get some old latex paint, stickers, reflective tape, electrical tape, ding the frame, scratch the frame, leave it out in the rain and make that gem a tad tarnished! Bike thieves hate non resellable bikes!!!
Or.. if this sounds ridiculously hard, get a nice used bike and uglify it!
Use a U-lock and a cable lock with an integral lock. A bike thieve will need two tools, they usually carry just one!
Park in well lit areas where there are plenty of other bikes. Bikes parked in solitude are a target, cause no one's around to watch!
Buy a huffy single speed, worth nothing and always have a dependable ride waiting! Otherwise that Trek, that Specialized, that Bianchi bike you love may leave you for a bum with a $10 tool.
Remove your seat if you have quick release seat post clamp. An unridable ride is a less desirable ride!
And always, always lock your bike to something solid. Thieves have been known to cart whole bike racks filled with bikes away, even if the rack was bolted! A a rack sunk deep in cement is best!
Required watching, prerequisite for
Bicycle Theft Proofing 101A: