I've been using these in Chicago for 4 years now, and no wheel thefts.
Granted, I never leave them locked up outside more than a few hours at a time, but it's good piece of mind when I'm grocery shopping or watching a movie, and way simpler than carrying around a bunch of locks and cables for all of your bike bits.
For expensive saddles, I recommend the same hollow allen key trick using bolts from
Bicycle Bolts