I'd recommend locking skewers, too, which have a smooth featureless side which can't be grabbed by a tool, and a "keyed" side which supposedly can only fit the key provided. I use ones (Pinhead) that have a "unique" key, and can't readily be removed without the key (I know because I had to remove one once -- managed to get it off by cutting a slot with a dremel and turning it, but it took some effort and time). You can lock your seat and wheels this way (they also have a headset lock, which I guess would at least protect your fork -- bars, too, if you have a quill stem).

I don't know for sure that these work, and a determined thief can probably defeat them, but it seems like the main objective is to make it more of a pain than they're willing to deal with. Still probably shouldn't have your $600 Crossmaxes on your commuter, though.