Someone should design lights that are not quick release except for the battery. Same with panniers--actually somone does do locking panniers. Its funny though, I live in a college town where people will cut the locks off $50 bikes to steal them. But if you park in the middle of down town there are always tons of people and no one will touch anything. I see lights on bikes all the time, as well as panniers and baskets. I always leave my Jannd fabric basket on my bike without any problems. I am, however, thinking of getting a small lock or maybe zip ties to secure it to the frame. At least then it would be inconvenient to take. The problem here is drunk students stomping on bikes. They will do this anytime, in front of anyone. Who's going to challenge a group of 6' 5" jocks?
I too bring my bike into the checkout area of large stores. It is much less in the way than those giant carts. It would be nice to have a junker that rode nice that I could use (wait, that's what I ride now)--I just can't afford to lose it or its parts quite yet.