Carrying a lock

[VeloVT]

When I'm commuting and have things to carry (clothes, books, laptop etc) I just stick my bike lock in my backpack and all's well... Yesterday though, I had a few quick errands to run, it was hot out, I didn't want to carry a pack since everything I needed except the lock fit in my jersey pockets/seat bag. I ended up coiling my lock up really tightly and jamming it awkwardly and not very securely into my second bottle cage (on the seat tube). This worked OK but I noticed it put some superficial scratches on my bike's finish, and I worried that if I went over a big bump, I might lose it...

So how do you carry your locks? I don't really want to use one of those quick-release type mounts on my road bike (mainly because they're ugly, but partly because I don't want the lock in a place where it will get in my way on the bike either). Currently I have a fairly hefty cable lock -- I'd consider getting a lighter-duty one, but wouldn't feel comfortable with one of the super-thin (pencil diameter) cables.

Anyone who has a cage rocket -- could you fit a small cable lock in there???

Thanks for your suggestions!!!