A couple of thoughts as another NY'er. First, I never leave a bike locked outside for any length of time. And when I do leave a bike outside it is my commuter that looks like crap although it has a full high end drivetrain, new wheels and other expensive parts. Second, with pedals you can get a pair of hex mounted types and carry a longish 8mm allen wrench like the one that came with my power meter Assioma pedals. And that is another thought, I put those on my commuter occasionally and those cost $$$$. I wouldn't leave them on my bike locked up outside, although I will in my office parking area since there is a security guard at the desk right there. But I take these off and swap them around easily enough and you can have a pair of pedals like that that are easy to remove and then you can thread a cable through the cranks. Another thing, when I'm running into a store I always thread my helmet through the wheels so nobody can jump on and pedal off without me seeing him fall to the ground first to kick the living shiiite out of him, and hopefully I have my carbon soled shoes on too. And always a store where I can keep it in view.

Mostly I just don't lock my bike up.

As for Copenhagen, I was there last summer and the bike rental shop seemed unconcerned about theft. They give you a lock that you would never use in NYC. There are piles of bikes at the Metro stations that look like they've been there for years, they can steal one of them.