I was wondering what one could do to keep his bike attachments from being stolen. On Monday two lights were stolen off of my bike. I only had them for a day. It was the kind that has a rubber "strap" of sorts that goes on the handlebar. I only really care/want to know because they were fairly expensive...
Take the lights and anything else thats likely to be stolen off your bike.
For things that can't be removed easily, you may want to use something like Pitlock security skewers (or security bolts) or glue in ball bearings or similar into the head of the bolts (which will make them hard to remove when you need to remove them, but a casual thief can't remove them easily). Also, make sure you know how to properly lock up your bike (which has been discussed at length in other places on this SE).
In terms of accessories like lights, GPS, etc. the only way to be safe is to remove them entirely. Remember that if something is quick-releasable for you, it's also quick-releasable for thieves. Bike lights will frequently get stolen even if they aren't easily removable, because they're valuable. There is an assortment of "anti-theft" bike accessories available, but most of them just rely on obscure screws, and they tend to be inferior products as they must make other compromises in order to be harder to steal while also being priced competitively.
For bike components you may also want to remove as many quick release levers as possible. I've had a seat + seatpost stolen before, and know many people whose wheels have been stolen. You can lock your bike in such a way to prevent wheel theft, but it's impractical to lock things like seats, so you have to make it as difficult as possible.
Fortified Bike sells bike lights that are designed to be theft resistant. They're made of heavy aluminum and use security screws so most thieves won't have the proper tool to unscrew it.
The also sell a security seatpost clamp to help keep thieves from stealing the light by stealing your seat.
I haven't used their newer rechargeable lights, but I've had their older Defender Stealth model on my bike for about 3 years now and haven't had it stolen despite keeping my bike locked up outside at work.
I've attached lights etc. with anti-tamper torx screws and normal screws in awkward places (like under the rear rack). Both have some deterrent value over normal screws in easy-to-reach places, which in turn are better than clips that need no tools at all. Some modifications may be required to replace the thumbscrew with something more secure.
But I had half a front light stolen because the rest was well screwed on - they opened it as you would for changing the batteries. Most lights are designed to be easy to take off, which might as well mean hard to secure. For anything other than cheap rubbish lights you should reckon that they'll be stolen or destroyed in the attempt whatever you do. You should probably make the same assumption even for cheap rubbish if you reply on them, or at least have a backup (in my case a cheap rear light on my pannier - which comes with me - and a headtorch on my helmet).
The only way to do this would be lights that are integrated into your frame so they can't be removed. Not a cheap option.
Instead, leave your lights and tools, etc in a bag that can be removed from the bike with one motion, or in a backpack, so you have them but only fit the lights to the bike when you need them.
I don't generally leave the helmet at the bike either... I've had one stomped to pieces while I was elsewhere
[With lights that attach via a quick release system,] clip the quick release thumb lever off with wire cutters, you can still remove them with a flat screwdriver. It's only good for stopping the opportunistic thief.