The old adage goes that a bike and its lock together weigh 40 pounds. 20# bike, 20# lock; 30# bike, 10# lock, etc.
A lightweight cable lock is enough to keep honest people honest; that's about as far as I go. If you're in a sketchy area, like a college campus, keep the bike in sight (or in hand!). If you're going to leave the bike unattended for a while, try to lock it to something solid out of sight. If there are two or more bike tourists together, one stays with the bike while the other goes shopping if necessary. If you want to take a day sightseeing, consider leaving the bike in a motel room.
But don't let fear of losing the bike dominate the emotion of touring on a bike!