I remember reading it somewhere that suggested to lock the fork, as this can also be stolen. I'm assuming I could use a u-lock which would keep the fork intact to the frame, even if they tried to remove the headset. Am I right?

You can get a Pitlock to prevent your threadless headset from being removed without the proprietary wrench. Cheeper and much lighter than a high quality U-Lock.
Peter White carries them. You don't have to get the full set.

The best way to lock a fork is to use a locking headset cap from Pitlock. But I'd still use a cable lock to protect the front wheel, unless you use Pitlock locking skewer as well. These are expensive, but high quality and they work.

Depends on the fork, too. If this is a $100 mountain bike, I wouldn't worry about anyone taking the fork. If it's an $800 fork, then maybe lock it up too.

You have two choices:
Pitlocks (as previously recommended, and have been ensuring that the fork on my mountain bike stays on the bike.)


Or
Pinheads (they are a bit less well made than Pitlocks, but decently secure nontheless,.)