I went for about a year before my first set of lights got stolen. Then after that, like
fietsbob suggests, I've become more careful about just removing the lights from the bike.
There are a few trains of thought:
- Remove the lights when not in use.
- Get permanently install lights. Screw-on? Generator lights?
- Buy cheap lights (< $1 each) that the thieves will ignore (hopefully), and you won't be bummed if they get stolen.
- Use helmet mounted lights, and take the helmet with you.
Even if you go with the cheap lights, the reason I carry lights with me is to get myself home safely, and a loss of lights can put myself at risk. Thus, back to the idea of "better safe than sorry".