You need to make sure that the frame is attached firmly to something as well as the wheels and the seat. Pass the chain or u-lock through the back wheel and the frame, if you have a quick release, you can remove the front wheel and either take it with you or lock with the back wheel and frame, or you can get a second smaller u-bolt to lock the front wheel to the frame. If you have a chain, make sure that it's not resting on the ground which makes it easier to compromise. As for the seat, take a tip from the messengers: get a piece of an old chain and pass it through the rails on the saddle and one or both of the chain stays.
As for the chain vs u-bolt question, it depends on what you have available to lock to, not everything is suitable for a u-bolt.Seriously, you need to make sure that the frame is attached firmly to something as well as the wheels and the seat. Pass the chain or u-lock through the back wheel and the frame, if you have a quick release, you can remove the front wheel and either take it with you or lock with the back wheel and frame, or you can get a second smaller u-bolt to lock the front wheel to the frame. If you have a chain, make sure that it's not resting on the ground which makes it easier to compromise. As for the seat, take a tip from the messengers: get a piece of an old chain and pass it through the rails on the saddle and one or both of the chain stays.
As for the chain vs u-bolt question, it depends on what you have available to lock to, not everything is suitable for a u-bolt.
Or do this:
http://www.flickr.com/photos/dustinq/501791705/