I use something very similar to this when I ride to work:

http://americancycleandfitness.com/p...FZJxOgodVmwAPw

It's small and light, fits in a saddle bag and I don't need a key. But then, I'm fortunate in that the area where I park the bike at work is about as safe as you could hope for. It's far away from any public foot traffic, and right under a security guard shack window. The only folks who have occasion to wander by the bike rack there are my fellow employees. So all I need is something to keep honest people honest, as they say.

I haven't tried this yet, but I'm thinking I could use this to take a quick bio-break on a longer ride. I would guess it's probably just enough deterrent to prevent a random "crime of opportunity" bike theft in that situation.