I still say the best way to keep your fresh parts from being stolen is to have a beater for locking up and a nice bike for long/leisure/weekend/group/race/etc rides, or at least whenever you know for sure you're not going to have to lock your bike somewhere.
i have a nishiki conversion which is actually set up pretty nicely. The parts are definitely compromises, though. Everything on the bike-- minus the wheelset-- was bought or traded used. The headset (which is never ever going to be taken) is a pretty nice shimano 600, but that's it. everything else is medium to low end and cost next to nothing. As a bonus, i have a relatively fun bike to ride in the rain (honjo fenders). I'm about to upgrade to a nicer truvative bottom bracket, but that's only because 1) i need sealed for weather riding, 2) no one will be able to tell what it is from the outside and 3) it'll never ever be stolen unless the whole bike is stolen. But even then, my phil wood ti will still be safe and sound at home.
I will never lock up my bob jackson. Just too much ice and high end vintage stuff to risk some jerkoff with sticky fingers taking it.
sucks that it has to be that way, but it's pm the best idea these days especially if you live in a city.