I recommend getting the Onguard Three-piece Locking Skewers. Similar to Pinhead. This will lock your wheels as well as the seat post. The tool to remove the skewers is smaller than my thumb, fits on a keychain, and it doubles as a bottle opener.

If you're not locking the bike up overnight you should be fine just locking the frame with a good U-lock. I suppose if you live somewhere like NYC and/or if you have expensive wheels with disc brakes, etc, a thief could be tempted to defeat the locking skewers. If you have a valuable saddle, such as a Brooks, you'll want to lock the seat itself with something like a bicycle chain.