noglider 

You have to talk to people to learn how the thieves operate. They often operate in an irrational manner, so they'll take things that are not valuable to them (but might be to you), and they may leave things that are valuable.

Here in NYC, I have to remove everything when I lock up. I have a saddle bag with just my tools and repair supplies. It also has my taillight mounted onto it. I stuff my headlight into that bag and take it off the bike and put it in my backpack. It weighs about the same as my lock, so it's an even trade. I take my bottle with me, as it's one of those expensive steel bottles. I've had one stolen, and it was a big annoyance.

I know one bike mechanic who will put solder into an Allen key fitting to thief-proof it. You can heat the bolt/nut up again to take the solder out. Maybe wax would be nearly as good and much easier to deal with.