I take the nicer road bikes into a lot of places, and supermarket personnel often recommend a spot for it, either in an unused checkstand aisle (during their slow hours before closing, when I always shop) or even in the stockroom or employee's lounge. They know me by now.

I've got a small bike alarm with remote key fob, and a pocket cable lock for when I dine with bike in view of my table. I also sometimes take the rear QR skewer with me. It might also be helpful that I ride a 25" framed Motiv Defiant commuter that's cheap and heavy.

In a bad part of town I would use a not-so-nice Varsity, very heavy for anyone to carry off, but still a great rider while having low resale value.