It's too much trouble for me to remove the bolted on lights that my dynamo powers. I've locked the bike up, and oddly enough, no one has ever stolen them. Bike thieves carry cable cutters and bolt cutters, but it appears they don't carry wrenches. Weird. Then again, bike thieves are not rational people. I once had someone bend the mounting bracket in hopes of stealing the headlight. But it was a minor inconvenience for me. I was able to bend the bracket back into shape.

MAYBE if you clamped your lights on with hose clamps, it would stop thieves. Again, irrationally, QR skewers secured onto the bike with hose clamps seem to deter thieves of wheels. It doesn't make a lot of sense to me, but if it works, who am I to question?

But with hand-removable lights, I do take them with me every time I lock the bike. Not doing so creates an opportunity for thieves.