Being bolted on, they are more secure, so you don't need to take them with you. It would be a determined and knowledgable thief who went to the trouble of stealing them. I've never had a moment's worry about the dynamo lights on my winter hack. My boss, who uses his bike as a test bed for the magazine ofen has two or three different sets on his daily use bike...
If you can afford it, and getting it built into a wheel, get a hub dynamo. Less resistance than a bottle dynamo, and less prone to slipping in the wet or getting clogged with mud. That's my upgrade for the winter hack once it's off duty, bottle to hub dynamo. They aren't that expensive, in the 40-50 quid range for the hub, depending on whether you need one with a hub brake too. And modern lights often have standlights, so they don't go off when you stop.
I'll be getting hub dynamo on my Galaxy too, eventually. And it would be nice on the trike too, esp if I'm going to be training on it! But I'm not sure of the logistics, what with a derailleur rear wheel and disk brake fronts...