Of course it's safer... If you have a lock and cable, there's just one lock to pick/shackle to cut; with two U's, there's two.
You might want to buy two different locks with different tumblers so if a thief knows how to pick one, it won't be enough. One of them could ba a mini for convenience. Maybe a Onguard Bulldog mini + a Krypto New York 3000 if you really want to make sure...

Actually, from start of school in September, I'll be leaving my crappier U-lock at school, and only carry the Abus Sinus with me. That way I can have an ultra-safe parking at my usual place without carrying all that weight, and I'll have a lock with me at all times.