Ok, I think I am just going to replace the skewers with a hex nut or a skewer that requires a hex key to release. Which do you think are safer or less common for people to carry around; a wrench or a hex key =P. A skewer that requires a hex key sounds nice, but I can't seem to find it on common bike shop websites like Performance Bikes and Nashbar. Anyone know the exact name for those, or a particular brand that makes them?

I don't want to use the complete locking ones that requires the special key, like PitLock as I don't want to risk losing the key or not carry the key with me, and not be able to release the wheel or repair a flat in an emergency.

I'm using the Centurion steel wheels, I don't think it's a target of theft compared to the new aluminum wheels around. But if I were to lock 1 wheel and frame, should it be the front or the back? The front would be easier to remove, as the back requires getting the hands dirty with the chain and derailer; but the back wheel is the more expensive one with the cassettes.