Remove a wheel, seat and/or handlebars when you lock up. A lot, and I mean a lot, of bikes are stolen out of convenience, and not having a wheel means that someone can’t easily ride it away.
This won’t deter a motivated Igor Kenk-style thief that steals tens of bikes a day, but it’ll make you less of an opportunity to casual addicts looking to for a ride for the night or something they can flip for cash or drugs.