Megan Webb:

I know of one occasion of a low life stealing a saddle. Face it -
there are people about that will steal anything they can.

Working on the idea to make my bike harder than the bikes around me, I
use a 5 sided allen key on the saddle post bolt, and use a D-lock an
cable lock - to keep the wheels attached on my commutter bike.

Its just too much hassle to get back and find no seat or no wheels...

What do you do with the saddle rail plate bolt right under the saddle?

There are keyed bolts sold by Kryptonite and Pitlock which replace bolts
on various removables on your bike. Pitlock's bolts have a maximum
limit torque of 10Nm, which is fine for stems, seatposts, saddle rails,
brake mounts and headset caps, but seems too low for skewers. Coupled
with cable and D-locks though, I'm sure these are more than just a
bother to opportunity thieves.