If I'm riding my good expensive bikes; I do not lock them. I either make sure I can take them inside with me; or I do not ride them. If I'm running errands, etc., commuting, etc., where I need to leave my bike somewhere, I take my older less nice bike and a cable lock with a regular keyed lock. I usually leave this lock set up at work on the bike rack so I don't have to carry the weight in, but if I'm carrying it, i.e. forgot to leave it at work; used it to go somewhere else after work, etc., I carry it in my backpack. Usually, when I'm on these commute, errand trips, I am out for something other than just riding my bike - so I have the backpack for carrying groceries, clothes to work, etc., etc.

I could in pinch probably fit the cable lock and lock in a jersey pocket if I had to; that is most jersey pockets - but not some of the wimpy jersey pockets sometimes found in women's jerseys (but that is another subject).