I use a U-Lock and cable for my bikes. U-lock goes around locking post and rear wheel, just behind the seat post, cable attaches to u-lock, goes through frame and front wheel back to u-lock.

My current build project will have locking skewers (requires special wrench to loosen) so I retain a standard quick release style hub.

I have a friend who bought the humongous and heavy Kryptonite NY chain lock - not for me, though.