Assess the risk for the single parts, and start with the most risky ones:
Pitlock skewers work very well and will outlive a couple of bicycles. In comparison to wheels interesting enough for a bike parts thieve, they are cheap. There are cheaper replacement skewers which are not as safe (basically variations of allen key bolts).
The second most stolen part seems to be saddle and seat post. You can attach the saddle rail(s) to the frame using a piece of an old chain, without a chain lock of course. Nicer looking options include, of course, Pitlock (a seat post clamp bold and a cover for the seat clamping bolt). Alternatively use a separate lock cable through the seat rails.
Stem and handlebars
Now it gets harder. An ahead stem can be fixed using a Pitlock insert. Still, the stem/handlebars connection is there, too. Maybe the bearing ball option mentioned in another answer is the way to go here, and even for the bolts of the precious shifting and brake levers.
This is hard. A lot of simple bolts, and potentially valuable parts. I would instead use cheap derailleurs (with good cables and proper assembly they will work very well). A cheap crank set upgraded with good quality chainrings when the first set is worn out does not look attractive for thieves either.
The cheapest option, and working very well: Don't let the bike look good. Stickers, tape, dirt, rust, weird colors all have their place. Be creative! In Germany we call it Boruttisieren (translated by Google), after the guy who brought the concept to perfection.
As long as there is are enough more attractive victims nearby, your bike is pretty safe. Take that into account when leaving the bike somewhere. If it still is attractive to a thieve, it will help if you don't leave your bike in a predictable manner, e.g. not at the same place during work time monday to friday etc. That makes it pointless for the thieve to prepare (e.g. by taking a magnet).