Use both. Lock the frame with the U-lock, and then a cable lock to lock the wheels. You might need two to get both wheels (or an extra long one), though you could possibly just ignore the rear wheel -- being buried in the bags (if you have any) do make them less obvious and therefore fewer people will try to steal them.

Do not rely on just a cable lock to protect the frame (i.e. the whole bike) -- people can cut them in seconds. But they will usually prevent people from stealing wheels.