Locks are for honest people.

The only time I use my U-Lock is when going to the gym. I feel it is pretty safe location but to combat any worries about theft, I ride my free beater bike. It's not that I wouldn't be bummed if it was stolen, but I'm using it for that specific purpose and I guess that in a way I do expect it to be stolen one day. It's the only bike that I lock and leave alone. All other bikes never leave my sight when out riding.