I have had a few bikes stolen in NYC - but it's always when they are locked up for an extended period - like all day at work or overnight. So I leave my heavy krypto chain at work and carry a simple cable lock for quickies like you describe. I think the risk of it getting stolen in 20 mins is not worth 12 lbs of locking gear. A u-lock and cable should do the trick. I suppose you should always be prepared to see your precious bike vanish. I think folding makes the bike less attractive to a thief - makes it look kinda complicated to steal.