what ever you use make sure it is attached to something stationary. 20 lb or less bikes are quite easy to throw on your shoulder and take off running.
If you want low protection/deterrence get a ulock or I prefer the masterlock street cuffs. If your more serious about keeping your bike buy a nyc fagettaboudit chain also and use both.
there is no real good way to transport your chain/ulock other than maybe a backpack.
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2010 Kestrel RT900SL, 800k carbon, chorus/record, speedplay, zonda
2000 litespeed Unicoi Ti, XTR,XT, Campy crank, time atac, carbon forks