I use a disk lock and lock one end of a bright orange thin spiral kryptonite cable lock in the disk lock, put the other on the throttle. The cable on the throttle serves to remind me that the bike is locked up and is a clear visual clue to the bike theif idiots that there are probably easier ones to steal nearby.
I figure if someone really wants to steal it they will. This is kinda like the story about two guys running away from a chasing bear, they don't have to be faster than the bear, just one guy faster than the other.
Both the disk lock and the cable fit easily under the seat and go with me everywhere. The cable is also handy if you want a quick, temporary way to secure a few things for a quick jaunt away from the bike.
Steve