Step 2Protection
In general, the more you pay, the better it is, a wonder that free market system of ours.
For the most part, a u-lock is enough, but if you want to be really safe, a separate cable lock provides the most protection when combined with a U-lock. Then again, if theft in your area is so high that you need to do this, consider taking your bike inside.
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My strategy is the same as if I was running from a bear I just have to be faster than my slowest friend.
In the case of bikes, I make my bike more complecated to steal than other bikes i park around. I take the front wheel off, lock that to the back wheel/frame and to something cemented to the ground with a U-lock. I also use a cable lock that is largely superficial but it loops around my seat, frame, wheels and whatever i locked it too also. It takes me about 2/3 minutes to do it all but I have peace of mind. I live in NYC commute to work but store my bike inside at night.