Light Theft (solutions — small pocket lights, or heavy duty well secured lights?)

You know the story. You want to go for a pint in town and its light
when you set out but will be dark by the time you've finished your
"pint". Now I already have a wallet, phone and house keys in my Jeans,
so where am I going to stuff my lights?? I went to the shop and asked
to have Dynamo lights fitted just because I — either rightly or wrongly
— assume they're less attractive to thieves for a number of reasons (one
being they're harder to steal). The shop keeper doesn't seem to think
they're all that good or reliable. So are there any *good* and very
*small* lights suitable for pockets? Yes I can wear a coat, or take a
ruck sack with me etc etc but I'm looking for something a bit more
practical. Alternatively I will just have to find some that secure
better to the bike rather than quick release types. I live in Cambridge
and bikes and parts on bikes disappear within seconds so suggestions
welcome.