Getting your bike stolen is expensive and traumatising and overall shitty. But so is having to juggle a bunch of heavy locks. So you're just screwed! Unless you use some clever design and create something like the Lock Loop.
The Lock Loop still requires you to carry around some extra bulk, but at only 0.6kg, it's not much of a burden - plus it cosies up to your U-lock while in transit, so the package itself is fairly neat and streamlined. When you want to actually secure your ride, you use the two bolts to snap your wheels together, much like you would use a club on your car's steering wheel. With your spokes inert, you've got an added layer of security - if you're willing to put up with a few extra minutes of setup. [Lock Loop via Gadget Lab]