I've seen it mentioned a couple of times on the forums, but I don't know how effective they are or how readily available they are in the states, but you might do a little searching for "o-locks." They mount to frame and clamp around the rim, immobilizing the tire and keeping it attached to the frame. But then I don't know how it attaches to the frame, and if the locking mechanism encompasses the frame as well as the rim. If not, I guess you could just disconnect the o-lock as well as the axle and be on your way with a new tire, which means you'd be better off with a U-lock. And that's an option, too: a mini-U-lock that just connects your tire to your frame would not be as vulnerable as a cable. A mini-u-lock for the rear and a full-size one to go around the front tire, frame, and anchor, and you should have a decent degree of protection.