i'm pretty dorky, but it has worked well so far.
i use a ulock with the old AV-dork cable. the cable works as a sling, so i can ride with my lock round my shoulder, pocketbook-style. if i'm in & out or in a very safe location, i basically just use the u lock, with the cable stuck in it, but not on active duty. for longer lockups/worse areas, i lock the frame and backwheel to a meter, leaving little clearance for thieves with jacks. the cable runs thru the ulock and secures the front wheel. i also have a wee bitty cable for my saddle, but i normally use that to keep my keys attached to my beltloop. i often use it in the city, as i dont want anyone to take a hex wrench out and steal my selle italia.
so far, so good. been a few years with this method. (i lost a saddle once, before i got the mini-cable. that's sorta why i got the mini-cable.)
-rob