Some people use two locks. My experience is that people will not bother breaking a lock if the payoff is just one wheel, so I use a cheap, easy-to-cut cable to secure the second wheel to the frame, and I use a good strong lock to secure the frame and first wheel to the bike rack or signpost.

Some people use Pinheads or Pitlocks which are replacement skewers (or nuts) that are hard to undo. Each one you buy requires a unique key just for that skewer (or nut). When you have these gadgets, you can lock your frame to the rack and don't have to bother securing your wheels.

Of course, a determined thief can get through any of these, but reasonable precaution will yield reasonable results.

As for which strong lock, some people use those ultra-heavy Kryptonite chains. They are probably the most secure, but they're a beast to carry around. I had one that weight 8 pounds. I replaced it with one of Kryptonite's best U locks which is probably less than 3 pounds. Also there are some nice foldable locks by Abus.

I suggest you budget at least $80 if you're getting a chain or U lock. The replacement skewers/nuts are another substantial cost but might be worth it if you're going to lock up a lot.

Lucky for me I rarely have to lock up outside. I bring my bike into my office at work. When I take a short trip, I take Citi Bike instead of my own bike. That solves the locking up problem, and it also leaves me free to return home without riding at all if I want.

Crime has gone way down in NYC and other cities, but bike theft has continued to be a serious problem. Take serious protection if you're locking up. The thieves look for the more vulnerable bikes, and they are very quick.