You cannot stop a determined thief from stealing your pride and joy. But you can greatly reduce the risk if you understand it better.
First of all, remember that bicycle-theft is not a popular career choice for the intelligent or determined - so practically all cycle thefts are at least partly "opportunistic".
Secondly, the lock-system recommended by your friend the racing cyclist is useless on your shopping bicycle if it takes 5 minutes to fit. It's absolutely essential that you have at least one lock that is quick and easy to use.
Consider the frame-mounted horse-shoe lock, universally fitted to Dutch bikes since the 1970s. It is slowly appearing in the UK on new Dutch bikes such as the Gazelle and Batavus. The top (most expensive) version currently costs Euro16 (around £10) in Holland or £20 if you can find them in UK cycle shops. It may not be obvious, but these locks are remarkably secure, hacksaws can barely get at them and, fitted high in the air on the rear wheel, the use of bolt-croppers is tricky. They're difficult to pry open. Expensive models come with a bayonet-fitting cable to go through both wheels (and seat/helmet) and round a post, yet is freed in the same movement that frees the hasp of the main lock. Even without the cable, the horseshoe lock doubles as a high-security padlock into which you slip a link of your favorite piece of wall-fixed chain.
Overnight or long-term parking/storage in public places is a different matter, however. Choose a well-lit and frequented area (the stands outside the cinema are much better than the dark alley round the back). Virtually nothing will stop the determined thief with light-weight welding gear or a battery-powered angle-grinder - in fact, even those 3 foot long bolt-croppers make short-work of high-security locks - watch an expert here. If your bike is really valuable then you cannot afford to leave it anywhere visible.
But most of the time, the rest of us needn't worry too much. You do not want a lock that is big/heavy - though D-locks are better than cable locks at resisting pocket-carried clippers and hacksaws. Beware the D-lock that has a key in the end, the so-called 'P' Lock. The extended portion is vulnerable to leverage and impact, especially if it's near the ground. Chains are heavy and not particularly resistant to serious attack (eg where the thief arrives in a van). Don't carry chains round your neck or over your shoulder (in fact, try to avoid carrying anything hard and sharp on your body).
Some of our friends claim that the widely used circular locking mechanism is easily opened. However - don't be too alarmed to see this trick. The thieves know about it - but it's much more difficult than it's been made to look. And it does not work with the barrel of a ball-point pen, as they've tried to claim!
One good method of locking your bike is to lock the back wheel (in the centre of the rear triangle) to a solid object using a mini D-lock. Why's it so good? Well, the wheel rim is quite resistant to cutting, and it's difficult to attack when it's trapped within the frame under the seat. If a thief makes an attempt on it (remember, these guys are not very bright) and fails, he'll damage the wheel first, not the frame. Many locks now come as a twin-pack, one lock of each kind (along with the fittings for transport on the frame). Use the D-lock on the rear wheel and the cable-lock on the front wheel, the seat and the helmet you plan to wear.
Quick-release mechanisms on wheels and seat are great on racing bicycles since they have to be mounted on top of or inside a car, but they're a security nightmare for the rest of us. If they're already fitted, drill a hole in the lever and fit a cable-tie. Try to avoid removing vulnerable parts such as front wheel and seat, you encourage thievery of the rest of the bicycle and frighten off other cyclists. Other accessories (lights, cyclometer) are easily stolen, but even more easily pocketed at most every stop. Pumps are vulnerable - but of little amusement value to the tealeaf. They're also cheap and removing them makes it appear you're paranoid! A cable-tie round the body of a pump is a significant deterrent to theft - and reduces the danger of them getting lost of their own accord.
Not all thieves carry enormous bolt-croppers tucked down their trouser-legs, some just have spanners and allen-keys in their pockets. It is possible to use high security fittings eglocking bolts. Just be sure to carry the special spanners wherever you go.
Whatever you do, don't leave your bike unlocked as you pop into the shop - insurance does not pay out on unlocked bicycles!