I lock all of my bikes all of the time. Some of my bikes have the European style wheel lock. I use that in conjunction with a Krypto cable and a Ulock. I figure the more locks and types the better within reason. I may eventually get a Krypto NY Fagedaboutit on of these days. I normally don't leave my bikes for a long period of time so don't worry too much about components getting gone. I do replace QR seat posts with normal binder bolts. Sometimes if I think it may be an issue I will pull a front QR wheel and lock it down with the u lock. But that is a rare occurrence.

Aaron