I don'y lock mine, and I leave it in the vesibule by the doors. You're making me paranoid now... maybe I should try and keep it next to me... I do keep an eye on it but I think you could nick it if I was not looking at the right moment. Hmm.
It's a calculated risk really. I wasn't comfortable leaving mine out of sight, and bobbing up and down every time you hit a station to check it's still there/safe really sucks.
I think the odds of it being taken by a random person are pretty small on most trains. However, on trains where Bromptons are regulars, it makes sense for a bike thief to take advantage. Usually down South (London/Oxford) would be a profitable journey IMHO.
I might add I normally don't carry a lock, but do take a cheap cable lock for when I know I'll be on a long-distance train.