I use this method with a mini U. http://www.sheldonbrown.com/lock-strategy.html

I replaced the quick release on my front wheel, and on my seat post clamp. I carry a Kryptonite chain for when I can't find a small enough post.

I am extremely lucky in that at home the bike lives in the basement, and I have a bike room at the office. So, I'm really only locking up at the store, ball game, etc.