U-lock plus cable plus strip the bike when you leave it (I have a Jim Blackburn rack with a tail bag that has velcro strips). My flat kit etc. stay in the tail bag, and when I remove the lights and cycle computer they get stowed in the tail bag and I carry it in with me.

When not in use I lock the U-lock to the rack and use a velcro cable tie to secure it (keep it from rattling). I keep the cable inside of the tail bag.