For some reason, people steal bicycle wheels. It's mostly opportunistic theft of wheels with quick-release skewers.
If you'd like to protect your wheels you have two options: use two locks (or a lock plus a cable), or replace your quick-release skewers with something more difficult to open.
These Tioga security skewers come with a five-sided tool (kind of like an Allen key) that you keep on your keyring. Only someone with such a tool can remove your wheels. Since it's pretty unlikely that a thief will be carrying one, you can rest easy and just lock your frame. This means you often only need a small D-lock, which is more convenient to carry.