The advice to get a good lock is spot on. "Good" does not necessarily mean big and bulky. Small U-locks may be more secure than large ones because a thief can't get as much leverage.
And follow the basic rules for keeping your bike safe. For example, park your bike in well-lit areas where people mill around.
I have been reasonably careful with my bikes, and have not had one stolen since 1985. These days I use a mid-sized U-lock, plus a cable in high-risk zones.
Being mindful of security is the best form of bike insurance.