I also just have a cable lock with a number combination thingy on it. The cable is tripple layered kevlar so theoretically should take some time to cut through, and it is fairly heavy. But I just throw it in my bag (or attach to the outside of my bag) when I take it along. If I am going somewhere where I need to lock my bike up, I will generally also have a bag with me of some sort. Otherwise I guess I'd wrap it around by waist. At work I leave the bike in my office. When I'm at Uni, I bring the lock (and every other day I forget the lock, realize half way there and have to turn around). So far I've been lucky. No stolen bike even the day when I didn't lock the lock properly and realized 10 hours later when I was about to head home. I do strip everything else off the bike though such as lights or computer. And I make sure the lock goes through both wheels and the frame and the bike rack.