I lock mine as Sheldon recommends, with a Kryptonite Evolution Mini. I also use a Kryptoflex cable attached to the u-lock and wound through the frame, front wheel, and the anchoring object. To casual thieves this arrangement should look awfully "busy" and they'll almost assuredly move on to easier pickings. As to the more experienced bike-boosters, well, vigilance is the best defense. I take all removable bits away with me (lights, seat bag, etc.) and I never leave the bike unattended for more than a few minutes. It's my primary transport, and as such is an investment to protect as best I can.