This thread (from 2005) at roadbikereview.com describes the "proper" way to lock a bike. Pictures of both good and bad locking technique are shown.

Here is his 6 point checklist:

#1 Don't just run a lock thru the front wheel or someone will remove your bike from the wheel and get a wheel from...

#2 & 3 Don't just lock the frame or the guy who just took #1 will steal your wheels and ride away..

#4a Don't rely on a cable lock alone. For one thing they are crazy easy to cut away which brings us to...

#4b Lock your bike to something solid and make sure your bike can't be lifted over that something solid (BTW trees are not solid).

#5 If you have locks use them all the time, don't leave them dangling from your seat. Make your bike harder to steal than some one elses bike and yours is much more likely to be there when you get back.

#6 Use your very expensive lock correctly. Lock both wheels, the frame and your seat if you can.

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