I use velo orange skewers which are pinned allen bolts. It gives a reasonable balance between security and convenience and you could get it open without a special key by breaking off the pin or drilling it out. Should be good enough to deter casual thieves.

Is there any rule of thumb -- as there is with QR skewers -- regarding how tight to make these? I generally go until there's resistance and then another half turn. Does that sound reasonable?