If you really want to lock it, try these for saddles and wheels:
http://www.peterwhitecycles.com/pitlock.asp
I got one so I could completely lock my s/s coupled bike, but it makes changing a tire a tad more work.
After having a locked bike stolen, my advice is to only use a beater in a high crime area. My cervelo lives in my living room and only goes on club/event rides, so I never have to leave her locked anywhere.