I'm with the Sheldon Brown method too. only I use the orange Kyrptonite U lock.

My kids are both at an major university in an urban setting with bikes left outside 24/7. 4 combined years and no issues using this method and then Pitlocks on the skewers and seat post. They have nice legacy bikes (top end bikes in the 1980's including hand built wheels) so these aren't crummy bikes either.

One other trick that we've done is to use a U lock to lock the front wheel to the frame and then the longer shackle U lock to do the bike to the rack Sheldon Brown style. When they leave, they just lock the smaller lock that was used for the front wheel to the rack and take the longer shackle lock with them.

J.