The rules:
1. Lock the rear wheel and frame to an object (hopefully steel) which cannot be moved.
2. Lock the front wheel to the frame and another object if available.
3. Use expensive, brand name locks, not the dollar store variety. (Yes, they are heavy.)

Since I've followed the rules I have not lost a bike (knock, knock). Thieves have tried many times. My locks have hammer marks, plier marks and saw marks on them, but when I return the bike it there with both wheels. One thief was so 'pissed' he was leaving empty handed he kicked in my spokes.