Luckily in my town there were only nine bike thefts last year, all involving kids taking other kids' unlocked bikes of the lab and were later recovered.
I always secure the frame and rear wheel with the U-lock (don't like Sheldon method for some reason) and I use a separate keyed cable lock for the wheel. I have a permanent cable securing the seat. All accessories get put into my trunk bag.
Overly cautious for small town, but it beats being a victim.