I used to take the family bikes over to western Europe and never had a problem leaving them overnight. This would have been maybe USD3000s worth of bikes at various places in France, Germany and Benelux.
First of all I was able to lock the rack onto the car - it was a pretty Mickey-Mouse lock but would nevertheless deter an opportunist thief. Next I would lock the frames together, and to the rack, using a couple of my regular bike locks. These were much more heavy duty, Fahgettaboudit locks.
This combination worked fine for me. It was obviously enough to put people off. We didn't park in the centre of cities, but nevertheless these were public locations in quite substantial towns.
So I didn't detach the wheels, but I did lock each up with a combination of chains and D-locks. For any would-be thief, their quickest option would have been to steal three bikes and a rack all in one go, which I guess could have happened but fortunately didn't.
I guess the moral is to have some good locks visible and in use, and to be aware of where you're parking.