Only thing I've ever had stolen off a bike was a light. Racks and fenders(full,not the splash guards that clip to the seatpost) are bolted on and are too much trouble to remove for the most part. Most bikes you see stripped are abandoned. As long as you take anything with a quick release with you,you should be fine.

If you're really that paranoid,you can always do the NYC trick of filling the screw heads with rubber cement,potting compound,or BB's. Just make sure you blue Loctite everything before hand since you won't be able to occasionally tighten them.