I replaced the seat clamp bolt and seat post binder with security torx bolts on the bike I use locally to run errands. I also have skewers with security allen key heads on my wheels that I got from Velo Orange. While it is true someone can purchase the wrenches that fit these, or even knock-out the security pin, I'm not too concerned as the bike doesn't stay locked-up for long anywhere. It provides sufficient deterrence for opportunistic morons. I'm not in a particularly high bike-theft area anyway.

I also have a pair of old front and back racks on this bike, which I used a combination of allen, slotted and phillips head bolts on the theory that an opportunistic moron isn't likely to be carrying all the tools needed to remove them. Overall the bike frame (circa 1980 w/ragged paint job) makes it look like a crappy beater, despite decent parts on it.

If I were parking a more expensive bike for lengthy periods of time, I'd be inclined to carry a cable (or leave one locked to a rack if I use the same spot all the time) and loop it through the racks and seat rails.

You have to assess the particular security risk based on where you're locking-up and the value of the bike and balance it with the tradeoffs on cost of security methods, weight, etc. There's always a trade-off somewhere, regardless of what you do.