Get a small chain from your local hardware store and a good lock tie your front tire to your frame.

Loop the lock through the wheel, and if your bike has really nice components, dont lock it up outside! I never leave my race bike locked up unattended for more than 5 minutes except in extremely policed areas. And even on my less-desirable bikes, I replace the quick-releases on the wheels and seat-post with good old-fashioned hex bolts. Most wheel/seat thefts are crimes of opportunity and if the meat's not on the bone to begin with..

And yea, U-locks usually take like 15 minutes of noisy to hack-saw. It took me like ten minutes when I locked one to my backpack and then lost the key.. and I was using a Sawzall