It's never fun to leave your bike outside, but for some it is a necessity or part of the daily commute. There is always the risk of theft and if someone really wants your whole bike or a part of it, they will find a way. There are a variety of ways to deter thieves or slow them down and as a daily commuter I seek ways that are as practical as possible.
I do have a one of those hefty bike chains that could easily be used as a boat anchor. I ride with it around my waist and it is not hard to get used to riding with it. To lock up I loop the chain around the frame and my front wheel, but it is not long enough to include the rear wheel. Of course I could take off my front wheel and loop the lock through the rear wheel, front wheel, and frame, but doing that over and over just ain’t no fun.
Some people end up using a separate lock, chain, or cable for the rear wheel. When I first moved to NYC I noticed that many people used plumbing clamps to secure their front or rear wheel (the clamp loops around the quick release lever and one stem of the fork or rear lower tube). It's a great thought, but it would not make changing a flat very easy. I liked the idea though and came up with my own security hack.
I ended up using padlocks on my rear wheel quick release levers. The perfect fit is not necessary if you just buy a small bungee cord so the lock does not rattle around. When the weather gets nasty I wrap the locks with plastic wrap to keep the grime out.
You could of course go with a quick release skewer with a locking mechanism, but that would not have the city flair a protruding lock does. Just make sure you carry the key or remember the combo when that rear tire goes flat.