The trick is to use a cable lock covered with rollers so it can't be cut easily and with a quality lock (one designed for motorcycles is best), and then secure both frame and a wheel to something immovable. I'm probably tempting fate to say this, but I've had my present bike for over a year. It was stolen twice when it was locked but not immovably, but each time it was dumped when they couldn't cut the cable and I got it back. Mind you, it's a cheap bike - I wouldn't give anything for your chances with an expensive one.