Protecting quick-release seats and wheels from theft
If you use a U-lock, you can use Sheldon Brown's lock strategy to lock at least your rear wheel along with the frame. This is the approach I use. Remember: the shorter the U-lock, the safer you are.



For your front wheel, you can bring along a second U-lock, a cable, or use pitlocks. For the saddle, simply switch away from a quick-release skewer to an allen head bolt and stop worrying about it getting stolen. You don't need to adjust your seatpost often enough to warrant the added risk posed by QR levers.