It seems like it would be a pain in the neck to take your bike inside with you all the time. I lock mine outside all the time, but I have two older bikes specifically for riding/locking up around town. We got rid of the quick-release bolts on my mixte so I don't even bother carrying an extra cable for locking the wheels. (Not that my wheels are worth stealing, they would just be very hard to replace.) I just started locking the helmet to the bike and that is so much easier than dragging it around.

But do remember to take everything removable off your bike. I forgot to remove my headlight today while I was in the store, and some jerk stole it. (Anyone know where I can get a silver Cateye EL-200 or EL-210? I have only been able to find the black ones, and silver looks better on my bike. Hush.)