How to Lock:
Lock according to value; 1. Frame, 2. leather seat, 2. Rear Wheel, 3. front wheel.
A really good rim (usually brand name, such as DT Swiss, or Mavic) costs $120.
At Planet Money : NPR they say,
For a heroin addict a "front wheel is one hit, rear wheel is two hits, and a leather seat is three to four hits."

It's most common to use a U-lock to go around both the frame and 1 wheel. Many U-locks now come with a cable to lock the other wheel.

Fill up the spare room inside the U so a thief can't get a bottle jack in to break the lock.

Don't allow the lock to touch the ground where the thief can smash it with a hammer.

The most common U-lock is 7-9" long and will secure the frame and 1 wheel to a fixed object.
There are also 5 1/2 - 6" mini U-locks and 11" long U-locks.

Source: School Bike Parking Guide | Rutgers

Sheldon Brown method - Just lock the rear wheel between the frame triangle. It's impossible to pull the frame away from the wheel.
 

You man need a chain or cable lock for some racks or where you have to use a tree in a parking lot.