My frame was too small to accept a bottle cage and u lock within the front triangle so I mounted it on the seattube with the U pointing back to the wheel. Within a day I had removed it though, as the thing rattles all over the place and (my mount was real cheap looking) it would occasionally clank against my seat stays if it was not angled far enough outwards away from the wheel.
Since then I just stick it in my bookbag. Cables are really not an option for me in the city.
Have you looked at the mini u locks that you can fit in your back pocket? They might be a lot better security than a cable while not taking up much room in your bag or on the frame.