Assuming you are removing your wheel for theft prevention purposes, not for storage fit reasons...
Get a ski/snowboard cable lock, and when you lock up your bike, leave the front wheel ON the bike (otherwise lock as normal, e.g., U-Lock, chain, whatever you have) and use the cable lock to secure the front wheel to the frame. (If you want to leave your helmet with the bike, run the cable through that too)
Here is a typical example:
* Easy to carry (I just leave mine on my bike, on handlebars)
* Fast to secure (use the combo version, not the key type)
* Less secure than taking wheel off and using a chain or U-lock through it
* One more thing to carry on the bike
The practical view:
* The bike thief will be looking for better targets than your front wheel.
* As long as your front wheel isn't something like a Zipp or other high-end carbon wheel, thieves will pass it by.
I've done this for a while with no issues. I have a high-security Kryptonite chain lock, but it won't reach through my front wheel. A cable lock is too easy to cut, IMO, and too bulky and awkward to carry on the bike in addition to the high-security lock.
If I secured the bike frame and rear wheel but left the front wheel vulnerable, I feel like some idiot prankster or vandal might rip off the front wheel just because they could. This small security cable will stop the casual crime-of-opportunity idiots, which gives me piece of mind. A pro bike thief is going to break out the bolt cutters and get your whole bike anyway, if they want it. Or they just may pass on yours because the second small cable makes the task a few seconds longer and increases their risk, so they move on to easier targets.
There is another, similar option. Credit to @Criggie for his comment on the original question, for sharing the Pitlock approach also.
You can buy Pitlock skewers for your wheels that also will defeat casual thieves. Looks like about $55 for a set from some online sites. For more info on Pitlock, see https://www.pitlock.de/en and also http://www.urbanbiketech.com/, and http://www.wiggle.com/zyro-2pc-security-wheel-skewers-front-rear-wheel/.
The pros and cons would differ a little bit to my earlier suggestion.
* Only need to carry the Pitlock key for your skewers, instead of ski/snowboard lock
* You have to have your Pitlock key with you on the bike to take the wheel off, e.g., to change flats.
* Also, you need take your Pitlock key with you, i.e., not leave it on the bike, when you park and lock the bike.
* Cost of the Pitlock skewers, $55-100
* Additional work to install the Pitlock system