I use one of those electric alarms, placed under my seat. I watched a thief trying to steal my helmet on it and alarm scared him off in a hurry. Best investment, for only about $25. Works good for going into a local confectionary for a few minutes and don't want to take the time to use chain lock, which I also use in sketchy neighborhoods. It is not guaranteed, a thief can always find a way, unfortunately.

Evening ride in Saskatoon, this summer.