Bike lock for a Mountain bike with easily removable wheels
Perhaps you might swap your current quick-release skewers by one of the many "anti-theft" alternatives (listed in my perceived order of security):


Pitlock (www.pitlock.com): these require a special shaped key to open. You carry the keys with you, and no thief could take the wheel. Neither yourself if you lose the damn key;
Velo Orange anti-theft skewers: a 5mm allen bolt with a pin inside. Need a special 5mm allen key with a drilled tip, to open. VERY clever... No thief in the world would have this drilled key;
Gravity-activated skewers, like this one by Zéfal: there is some moving part inside the skewers acting as a lock on certain bike positions. When your bike is locked to something else, it cannot be turned upside down so it's impossible to take the wheels away;
"Numbered padlock" style skewer: these have those infamous numbered dials. You have to match a secret code to open the skewer. Although one can try to guess the number, there are 1000 combinations on the 3-digit models. Don't know how they react to weather and dirt, though...


There are a number of other alternatives. The main idea is to replace the quick-release skewers for some anti-theft ones, so the wheels (and maybe seatpost) don't need to be locked, only the bike frame.

Hope this helps.