My Bike Friday came with the brake release adjusted so tight that it must be ridden with the release lever open. Close the release lever, and the bike doesn't go anywhere. It would be quick to flip the release up to lock the wheel, although I wouldn't expect a smart thief to be thwarted for more than about 10 seconds... but perhaps that would be a critical 10 seconds.

Of course, I also have clipless type pedals, but the bike can be somewhat ridden without the cleats.

Now, if I ever get quick release pedals installed, on the BF, then one could easily just remove one of the pedals, and the bike won't go anywhere under its own power. It would be much easier to just carry a pedal around the store than a wheel.