I'd recommend an Almax lock/chain/bolt combo. It's pricy, but it seems like it's pretty indestructible. They've even done test against other "indestructible" chains which seem to be snapped very easily (
http://www.almax-security-chains.co.uk/).
I term of a wheel lock, my suggestion is something like a
http://www.xenasecurity.com/product/motorbikes/alarm/page1/. It's a dislock with an alarm... if you touch the bike, it goes off. Not foolproof, but definitely helps.
Finally, make the bike difficult to see/access... park it close to a pillar, wall, cars, etc. so that thieves can't
get to it, lift it, or attach an 8' long set of bolt cutters to it.
My biggest concern is getting my bike stolen at home. I don't use it a lot for daily transport, and if I do, then I park it somewhere where I can see it (i.e. if I' in a restaurant/patio/etc.). It's the time that it's left at home that's scary. That's where it seems the majority of bikes are stolen from, when thieves can come when no one's around, spend a minute cutting the chain, lifting it into a van, and disappearing.