I don't like keeping the bike unlocked and in sight. It only takes someone a few seconds to hop on and ride off and its not like you'll be able to run and catch them. Also I know most people wouldn't care or take notice if you left your bike in the store and some random person were to take it out like they owned it.

I commute to campus and I've also used my nice bike a few times. I usually take off the front wheel and lock the front wheel and rear wheel (inside the rear triangle) with my u-lock. I hate leaving it out for more then a few minutes though.

There is a good thread about locks from a locksmith somewhere in the other forums. Anyways best way to lock your bike is the smallest u-lock through the rear wheel inside the triangle coupled with a cable lock through the u-lock locking the front wheel to the frame. Most thieves wouldn't even bother.