If you're worried about having lights stolen, check out these 2 cool "theft deterrent" bike lights.

http://www.kickstarter.com/projects/...bicycle-lights
http://www.kickstarter.com/projects/...defen?ref=live

I've only locked my bike 3 times outside and I take all the accessories that aren't bolted on or securely held on. This includes my bike light mount which is very easy to take off.