A recent article in the Guardian: Bike thief tells how to stop your cycle from being stolen:

• don't use a cheap lock
• don't assume CCTV will deter
• put it in a popular area
• if you return to your bike and it's punctured/damaged, move it as it could be that a thief has done it to buy more time
• if you park in one area frequently, try to move around a bit - thieves might notice a decent bike often in the same place