I like to think that the "locking together" technique protects me (somewhat) from theft. I live in a condo and keep my 4 bikes in my storage locker strung together with a thick cable and u-lock which connected to an iron water pipe. A thief would have to get through the gangway door lock (tough), the basement door lock (flimsy), the storage unit lock, and the bike locks.

I think the key is not letting thieves know you have bikes (or other property for that matter). I've walled off my storage unit, so prying eyes cannot see inside. I'm reminded of a neighboor who displayed a collection of guitars on his livingroom wall, which was clearly visible from the street. You can guess what eventually happened.