I used to lock up my old bike like this with a Kryptonite Kryptolok all the time. I never had any issues, but now I'm beginning to think I was just lucky all those times my bike was never taken.
I now have a new (less expensive bike) and after reading some of the stories/suggestions here and elsewhere, I'd definitely have to agree with going for a U-Lock at least (or in combination with the cable).