It depends on where you park the bike. Where I work I could probably get away with a cheap cable lock, but I actually use a U-lock around the seatstay inside the rear wheel. The front wheel is still free for the taking this way, but so far that hasn't been an issue.

In a less secure location, I'd probably get a locking skewer for the front wheel. Other options are a cable that connects to the U-lock and goes through the front wheel (not secure enough for city parking), removing the front wheel and putting the U-lock through both wheels (a major hassle), or using a second U-lock to lock the front wheel to the frame (a minor hassle). My view of security is that my solution has to be convenient for me, otherwise I'll get lazy and not do it.