You must have a good U-lock plus some kind of a cable. I have the Abus Granit 54 D-lock; buy it with the Klickfix bracket which allows it to be fitted to your seat tube or possibly top tube or downtube depending on size. The lock is heavy but sturdy and known to thieves as unbreakable, which is probably half its success. (Also, it is good for defending yourself against carelessly driven SUV's, holding it by the U and swinging the crossbar end by its own momentum. Each hit on a Range Rover is a grand's panel work. The owners grow careful right smartly...)
I've just taken a self-coiling heavier cable off my bike and subbed a lightweight cable on a little winder, but I live in a low-crime area and my hubs are secured with allen key fastenings, not quick releases.
With your rear wheel protected by the D-lock, you might consider Pitlock for the front hub and headset through bolt, the latter to stop thieves undoing the headset bolt and shaking your fork and wheel out and walking away with them.
Something new that I looked at (but haven't bought yet because the available items don't reach or adjust high enough to give me the handlebar height of my present adjustable stem) is lockable bicycle steering, on the car model but reversed in action in that the bike version makes the bike unsteerable by unlocking the steering, and steerable by locking it up again. The two I looked at were Oredon and n'Lock, the former the prentice design by the designer of the latter; the n'Lock is uglier but better thought out. They too would require a Pitlock to the top of the steerer tube for full safety. The idea is that a thief will not steal a bike that looks as if it requires repair, and which is anyway not steerable. This is a smart idea where there is nothing to lock your bike to.
Here's a reference to n'Lock
http://www.nlock.ch/default_en.asp but you're on your own trying to find an Oredon Freelock because its makers appear not to want to deal with anglophones...
My opinion is that a good D-lock for the rear wheel and Rohloff hub, plus the n'Lock with Pitlocks to front hub and top of steering column will permit you to leave the cable behind. There is also a Pitlock for the seatpost with an extension for the saddle, but maybe one can get too paranoid. (They won't agree with that last sentiment at
http://www.lfgss.com/ from which I learned some of these tips and where you can find expert ratings of types and makes of locks.)
Don't forget to lock your bike inside your own house as well. According to some French information I saw when I was looking into the steering locks, half the bikes stolen are stolen by appointment, so to speak, from inside people's houses.
Andre Jute
Ride tall!