I like the idea of packing the allen head with putty. Smooth it out, apply a black or silver sharpie, and the typical tweaker may not even realize there is an allen socket under there.
I've heard of people gluing ball bearings in the socket, but I can't figure out how you ever remove those when you need to?
Apparently, you do something like soaking it with nail polish remover, which neutralizes the glue, or apply a soldering iron to it, heat it up and the glue will melt.
Protects from quickly stripping parts off the bike, as someone who would invest that kind of time to steal parts could probably just break the lock and steal the whole bike in that amount of time anyways.