I use a medium-weight lock like this on my 20-inch folder:

Even though my 20" folder doesn't have quick-release wheels, I try to run the cable though the wheels. I will also lower the seat and run it through the seat frame.

My 16" folder has a medium to light cable and I fold it up. But now that I have invested so much time in upgrading the 16" bike, I may get a heavier lock. Although I suppose if I know before hand I was going to need to lock it up I would take one of the heavier locks and chains from tone of the other bikes.