Here in NYC most thieves aren't interested in breaking locks. They'll typically just "pick" whatever is easiest, meaning saddle/seatpost, lights, bars, unsecured wheels, fork etc. Locking skewers are a great way to deter theft at those points. Nothing is foolproof, but even basic locking skewers and filling the remaining hex bolts with silicone are a good start.

On my two commuter bikes I currently I use Pitlocks to secure the headset/fork, front wheel, and seatpost clamp. All the remaining hex bolts are filled with silicone. The big deal for me is not having to carry a 2nd lock, that alone is worth the high cost of decent locking skewers.