To latortilla:

Many folders come with racks (the Dahon Helios XL did, but I removed it) on which you can bungee cord a U-lock. Most folders shouldn't be any harder than a regular bike to lock to a rack (or parking meter), and have the advantage of wheels less likely to be stolen (due to small size, and, in some cases, lack of quick-release hardware).

Hope this is of some help.