In high crime areas, if you lock the front wheel and frame, you may return to find that your rear wheel and deraileur have been stolen. I have seen the carcasses of inproperly-locked bikes left to the vultures; chain hainging in the breeze. (think cattle skulls in the desert).

Most likely your bike is equipped with a quick release. Remove the front wheel. Open the U-lock and insert one side in the main triangle of your bike and the other end inside the rear wheel. You can either place the front wheel next to the rear wheel and lock it, or take the front with you. You want everything to be securely attached to the frame. Never leave any wheel unlocked. Take computer heads and any other acessories that a thief may be able to pick up on the fly.

I once witnessed a theft (though I didn't realize it at the moment. I saw someone walk over to a bike, remove the front wheel and walk away. I didn't think much of it, at the time, until I saw the owner of the bike come out of the adjacent building, look at the bike and say "#%*it!! Someone stole my front wheel". I just saw that guy not 5 minutes ago and it never registered.

The best lock is your presence. So lock it securely. If you can, keep it in eyesight, and if you must leave it, lock it in a high-traffic area, where a thief has to be very careful how to steal it. He can do anything he wants behind closed doors, but out in public he has to make it look like he owns the bike.

Bottom line is, if someone really wants your bike, there is little you can do to stop him. You can just up the ante in the hope that he choses an easier mark.