When I was using a roof rack, (a thule big mouth and a yakima king cobra) I used the locks on the trays themselves, but then also added a u-lock and a cable if I parked somewhere. Mostly because the trays do not actually lock to the bars, at least these two don't, though the bars are locked to the car.

After a little incident with the king cobra and a parking garage, I am now using a saris bones trunk rack. I lock the bikes to the rack with a cable lock, then put a u-lock through one of the little holes for towing in the car frame under the trunk and loop another cable lock to the u-lock and rack, locking the rack itself to my car. Of course, if someone had a cable cutter, they could still get them. But I never leave for too long, and I figure it is about as much deterrant as I can get. But I have to remember to unlock the rack/frame stuff before driving away.

The only problem now is I just replaced my kryptonite u-lock with an onguard u-lock and I don't know if it will fit in the little towing hole.