Bikes are best kept in bike rooms. If you have your bike in a locked bike room it's typically enough to lock the back wheel to the frame.
Keep the following in mind when locking your bike outside.
1. Lock the bicycle to a fixed object, i.e. a bicycle rack or a lamppost. Simply locking the back wheel to the frame is not enough as thieves can simply lift the bicycle and take off with it.
2. Park next to a more expensive bike.