Only been on two long tours but I commute in the big city every day, shop on the bike too.

Presently I carry two locks, a hefty cable lock and a pricey U lock. Usually, while shopping all I use is the cable lock, threaded through the handles of both rear panniers, through the frame and around some object. The trick is to secure your bike near to whatever the foot traffic is. Never had a problem, at home or on tour.

Of course anyone with a hacksaw can cut the cable in 10 minutes, or just cut the handle straps and walk off with the panniers, hasn't happened yet

The U lock is for when I have to leave the bike for a longer period of time or where I am predictable, like outside the gym before dawn most mornings, there I use both locks; U lock through the frame and bike rack, cable lock as before through the pannier handles, frame and bike rack. Haven't had a problem either.

I do live in a high crime area, but bike theft doesn't seem to be a big part of that crime, this ain't a huge bicycle town like in college towns, not much of a market for stolen seats and wheels either.

Mike