I use this technique pretty much every day. It's worked so far. While a rim may (or may not, I've no idea) be easy to cut, it involves destroying an expensive part of the bike. If they want the bike that bad they will probably take it no matter what you've done.

Why not do the frame + wheel to something? I haven't had a U-lock that would fit that way. Even my standard size one will not fit through both and still lock to something, the inside width of the shackle is not enough for it. Plus just locking the rear wheel to something lets me use a smaller, easier to carry U-lock that has less room inside for leverage.