Lock to something and cover. I've even put anchor bolts on the floor in my parking garage.
When at train station while I'm at work it's under 2 Kyrptonite locks hooked to the motorcycle rack with a cover. I figure they'll go to the next bike. I do carry an extra ignition because I've had one popped on two occasions.
I figured they'd think I'd leave it overnight when they could come back with angle grinders and break the lock while no one was around.