It depends where I am gong. At work, I just leave a kryptonite NYC lock on the bike rack, and lock it when I arrive. Those suckers are heavy, but after my last bike was stolen I was told also the most thief proof. I was told cable locks are next to useless, as they can be cut so easily. So, unless I am willing to carry a NYC kryptonite U-lock (say in a handlebar bag), I just don't leave it unattended. At rest stops on club rides we take turns wathcing the bikes. If we stop for lunch after, we eat at an outdoor cafe next to the bikes, stuff like that.