db has said it all; thieves usually scout around, looking for bikes to steal and I guess the professional ones even note details about type of lock, surroundings etc and come back later. How you lock, what you lock with and what you lock to, all are important. You also need different strategies to protect your bike, if you are parking for ten minutes or parking for a few hours (or overnight). Here are a few best practices from which you could choose whatever works best for you, or a combination of them.
1. If it's a regular locking place, like outside your workplace or home, you can have industrial grade chains, which is long enough to go through the anchor point, both wheels and the center part of the frame. You could secure this with two high quality locks which you carry around with you. Remember to inspect the chain often, to ensure that nobody has tampered with them in your absence, if you leave them outside.
2. Carry on the bike a strong U-lock and maybe a cable lock, for parking for a maximum of an hour. A cable lock alone is something you can only rely on for a ten-fifteen minute stop, that too in a very public place.
3. If you are parking outside your house or workplace, you can try removing the front wheel and carrying it indoors. Easily done if you have a QR skewer and is a solid extra deterrent for anybody intending to ride away the bike. You still need to use a strong lock, as sometimes thieves come equipped with a pickup vehicle.
All the best with keeping your next bike secured.
/Prashanth