Always secure your bike to a bike rack! If your bike is not secured to a solid object, all a thief has to do is pick it up and carry it away or toss it into a car trunk or van.
Use a chain at least 3/8" in diameter and a key lock with a 3/8" hardened shackle with heel and toe locking.
Pull up any slack in the chain and keep the lock as high off the ground as possible.
Put your lock through the tire and frame.
