I have a ulock with a cable, I run the cable through the front wheel, wind it around the frame and the rack, and then use the ulock to lock the whole mess together to the rack.
Granted, I also have the bike in one the pedal&park shelters set up by the mbta, so the fact that it's behind a (somewhat) locked door with 4 security cameras pointing everywhere seems to help.
In a less secure place I might just take the wheel and saddle with me, though I've never been parked somewhere (other than my house) for long enough to warrant it.