I carry a basic cable lock, but so far I have always been travelling with friends and one usually stands guard while the rest go in to wherever, then the first person to come back out takes over as guard while the original guard goes in.
The other strategy was that one of our group had the load on his bike so badly balanced (all cargo weight over the rear wheel) that, if it was leaned up against a wall and someone touched it, it would immediately flip over and probably trap the thief underneath.