I have an Onguard u-lock (the shorter loop one) and lock my helmet into the U through the strap. I had my first helmet damaged when it was locked to my bike, when someone thought they'd try and take my bike from my back yard (I later found it across the street, stripped of only the saddle).

I figure this is acceptable, direct sun/heat being the only consideration. If someone wants to cut the helmet strap to get it, then they've already made it either useless (can't use the strap) or very dangerous (one side of the triangular strap piece I feed the lock through is cut) to use, and frankly, they can have it - I'll not like doing it on the theft principle, but I have no quarms in getting another helmet if it means it saves my head from becoming some of that nasty road juice we all know and hate...

I'd honestly not considered using the vent gaps in it, but I would need a longer U on my lock for that (one regret in my lock purchase!), however I plan on getting at least one more lock anyway.

Failing leaving it on the bike, I just clip it to a shoulder strap on my backpack and walk around like that - not totally convenient, but it works.