The system that I use is:

- daytime and safe area: a Kryptonite or OnGuard U-lock around the rear wheel, directly behind the seat tube (that protects both the wheel and the frame). Bolt-on skewers and cable lock for the front wheel.

- night and rougher areas: same deal for the rear wheel. An Kryptonite or OnGuard "mini" u-lock attaching the front wheel to the frame.

Taking off the front wheel and locking it to the rear wheel too much work (off and on...off and on). And, the "lock the two wheels to each other" technique requires using a larger, longer, heavier U-lock. I'd rather just use two mini U-locks, and leave the wheels mounted.