1. Get a good lock. That means a U lock. I don't have any peer reviewed scientific study results, but I can tell you that as of today 100% of the people who've told me they've had a bike stolen in the Greater Boston Area either didn't have it locked at all, or they had it locked with a cable lock. Cables can be easily cut with something as simple as diagonal side cutters. (Of course, now that I've said that, someone will tell me about losing a bike locked with a U lock...). This is my lock:
This one is the smallest lock Kryptonite offers- The Evolution Mini- 5. I got it because I don't like carrying more than I have to. In the summer (when I'm not carrying an extra pair of gloves, rain pants, an extra set of lights, a thermos of hot coffee, a emergency blanket, an avalanche beacon, dog treats for my rescue dog, one extra hoodie for warmth, and two days of food & water- just in case) I don't want to have to carry a bag if my lock is going to be the only thing in it and this little guy fits nicely in a back pocket. In the past 6 years I've had this lock (that's why it looks beat up), there have only be a couple of times I've had trouble finding a place to lock up because of it's tiny stature. There are plenty of other larger sizes available, including one that I say is a 'medium', that Kryptonite calls the Series 2 Mini- 7.
On a side-ish note, Kryptonite has new skins for the mini locks. Good if you find yourself living with two housemates with 17 bikes and three identical locks between you, and maybe you're sick of accidentally grabbing someone else's lock and not realizing it until you get all the way to work. For example. Also good if you just want to add a little color.
2. Find something to lock it to. Bike rack, sign post, what have you. Really a bike rack is the best, because, well, that's what it's for. Therefore it's usually placed in way that protects the bikes from parking cars, and keeps them out of the way of side walks. Usually.
Got a place that you think could use a bike rack (in Cambridge, at least)? Tell the city here.
3. Now that you have your lock and a place to lock up, start with the most expensive parts of the bike and work your way down. That means start with the frame, then the rear wheel. Then, if you can manage (see below), the front wheel.
The front wheel can be removed and locked up with the frame and rear wheel, but remember that leaves your fork resting on the ground.
Or you can add a cable to your U for added front wheel security. I know I just said cables are easily cut, and they are, but most thieves won't want to be bothered with two locks. What ever isn't locked, cabled or bolted down is vulnerable to being 'impulse stolen'. If it's easy to take, then it's more likely to be taken.
3a. Remember where you left your bike. So that you don't end up like my pal (you know who you are) who filed a police report about his 'stolen' bike, only to find it locked up on the other side of his apartment building. Right where he left it.