I'm not sure if I read this on Sheldon Brown's site or somewhere else, but I simply use a mini lock to lock up the back wheel. As long as you lock it up inside that rear triangle, you don't have to worry about locking the frame up as well. I was really tired of seeing nicks all along the lower end of my seat tube. Of course, I'm only lucky so far that I still have a front wheel, but at least it's a bolt-on.
