I think the general rule of thumb is: if it can be stolen, it will be stolen.

Best advice is to take along anything that can't be locked down. In the area where I work, there are people who lock just the bike frame outside; both wheels, seatpost, and saddle stay with the owner. You could also lock the bike and wheels outside, but take the skewers, saddle, and seatpost with you. If somebody steals your skewer-less bike, maybe they'll be the one that ends up eating pavement!

Don't forget, though, that components are often the most expensive part of the bike and they're very easy to steal, especially if the thief is willing to cut the cables and chain. Brake calipers, levers, and derailleurs are trivially easy to remove, disappear into a backpack, are difficult to trace and easy to sell. I'm surprised that more thieves don't go after components! As a result, it's not a good idea to lock a bike in an area that's completely hidden from view.