We keep our bikes inside in storage /laundry room. When I ride to work, I keep my bike in my classroom. When we travel, we put on a couple of locks- cable and u-locks- on the bikes on the rack.

If I'm driving with the bike on the rack, and making a quick stop at the store, maybe I'm too casual, but I usually just use a cable lock wound around the bike and the rack. Sometimes I put it into the back of our car (Honda Fit) with tinted windows, and lock the car, but don't usually cover the bike. If I'm riding my bike and stopping at the store, I wheel it around inside unless someone in the store asks me to leave at the front where they'll watch it. If I'm riding my Surly specifically to go grocery shopping, I'll bring a u-lock.

Biggest worry- riding alone and stopping to refill a water bottle at a convenience store where it's just not easy to bring it inside. Sometimes I just won't stop if it's a more questionable neighborhood. But I try to avoid those anyway if I'm on my own. Some places I feel okay just running in to get water.