I almost always lock to a parking meter, traffic sign or some kind of pole. If I'm desperate I'll do something like this:Which would be a really bad idea with normal quick-release skewers. I use locking ones that require a special key to loosen:
Most messengers do something to make it harder to steal their wheels. A bolt at the end of an axle is a common deterrent. I'd guess one out of seven use OnGuard locking skewers like me.