Something I did for a while when I had a quick release seatpost collar:

Run a lock and cable around your saddle rails and seat stays on the frame. I used this: http://www.kryptonitelock.com/Produc...=1001&pid=1122 and a small master lock.

It's not perfect; the seatpost itself would be vulnerable and the cable could be cut relatively easily. But it's one more deterrent to couple with a non-quick release collar.