I use the ABUS Bordo 6500 to lock my folding bike for situations that the OP describes. It fits perfect on my the top tube of my Brompton. This particular lock is heavy but it is the strongest folding lock that ABUS makes. Kryptonite or other U locks will work just harder to carry around depending on the style of your bike. The folding lock is compact and you can I find I can maneuver it more easily than the Kryptonites.

One of the deciding factors is how much lock do you need for the location you live? There is a folding bike sub-forum where this question has been asked numerous times. You might find something useful there.