Yeah, the wheel in the shackle trick rules, I'm not the first to figure it out but I actually came up with it locking up two bikes, one through the back wheel and frame on a light pole, and then for the other I didn't have much chain, and while I was wrestling with it trying to get some slack and scratching both of our bikes I had a little light go on in my brain and just locked the other bike's wheel inside the shackle sheldon-style. With one bike it gives you enough for a bike rack or maybe a really skinny light pole, if all you have is a big light pole it's a no go but it will get you around anything a U-lock would have. YMMV based on wheelbase, obviously. An added advantage of this method is that it fills the shackle pretty completely, making prying harder and risking making the bike unrideable when breaking the lock, though if someone is jacking your colnago to throw it in a van this won't help.
For people who need chain sleeves, try going to REI, EMS, or anywhere else that sells climbing gear and getting 2" tubular webbing. I don't actually know if it will fit krypto chains, but it should fit most home depot chain. Should be like $2 for 3', explain to them what it's for so that when they cut it with the hot knife they will leave the ends open rather than smushing them together as they normally would. But be sure you get tubular webbing, they will probably try to sell you 2" seatbelt which is flat. 2" tube is kind of an old-school thing, not every place will have it. If you do this please buy 4' extra and send it to me, and I will be your friend forever and buy you beer when I'm in your town, and we will both bask in the eternal glory of knowing that we finally figured out if this is a good way of getting cheap replacement chainskins or if it's a little too small, and were able to share this knowledge with all mankind. I'm actually very serious, I have wanted to try this for like a year now but have not been near anywhere that stocks it and am too cheap to pay $6 shipping for $2 of webbing. The stock krypto webbing is like 2 1/4" or so, but seems to fit pretty loose, if this stuff works it would be the one ultrajam to rule them all as it is burly as hell and comes in a couple of colors.
Link to the stuff in question:
http://www.rei.com/product/472049