I D-lock the frame and back wheel to something metal and solid. You can do that with a medium-sized lock, but it can be a bit of a faff. If I'm going to be away in a busy central urban location for more than 15 minutes, I put a cable loop thingy through the front wheel with the eyelets on the D lock. It makes sense to try and "fill the lock" so that there is very little space to get a jack into it, but I usually can't be bothered. Do what you can, get some insurance, and hope for the best. If they want it, they will take it. There is no point in worrying about it.