When I lock my bike I always lock the front wheel with my bike to the rack since front wheel is easier to remove. Is this the right choice?
I have only one U-lock so can only secure one wheel, not both.
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I would lock the rear wheel.
The problem of locking the front wheel with U lock is that there's no way to lock it easily (or at least I can't imagine one). The front wheel is attached to the fork, but the fork doesn't have a closed "loop" so there's no place in the fork where you could lock the front wheel. So if you lock the front wheel, chances are you will find the front wheel locked to the rack, with the rest of the bike and the rear wheel missing.
Also, a typical front wheel is less expensive than a typical rear wheel since rear wheels have slightly more expensive hub (with a freewheel mechanism) and a cassette -- although a dynamo hub could equalize the costs of front and rear wheels. Considering that there are very many options to secure the rear wheel, that's the recommended wheel to secure.
The front wheel obviously could be secured with a separate cable. Carrying a long enough cable could of course be cumbersome. I always ride with my messenger bag and I have found that a cable fits to the messenger bag easily and isn't too heavyweight.
The most important thing is that the frame is securely locked to a solid object.
If you can also lock one or both wheels it’s nice but I wouldn’t worry too much. The rear wheel is more expensive but also harder to get out.
If you take out one (or both) of the wheels you might be able to lock both wheels + frame to an object with a single long-ish U-lock.
I don’t think single wheels are commonly stolen, just like seatpost+saddle, handlebars or derailleurs are usually not stolen.
It’s different if your wheels (or other components) are very expensive and/or you live in a high-risk area. In that case I’d try to lock as much as possible. For example thread an additional cable lock through the saddle rails, rear wheel, frame and a solid object.
Nothing is perfect. You need to develop a strategy based on what parts you are willing to replace.
I use a U lock and a steel cable similar to the pictures below and I take my quick release skewers with me.
Here are some suggestions from other sources
According to one maker of U shaped locks this is the best way to lock your bike: thread a cable on both wheels then close the loop with a U-lock.
Here's another version from another source.
Kryptonite suggests several options depending on your situation.
Interestingly, just locking the back wheel can also secure the frame if you do it in the right position, as shown in this post on pinterest:
You can remove neither wheel nor frame because the wheel does not fit through the triangle; it keeps the frame in place. This is often a lot easier than trying to secure both frame and wheel, which is simply unnecessary, if you think about it. (There is a caveat for expensive bicycles: The wheel is the weak spot here, easy to cut, so if the thief is willing to destroy the back wheel and carry the bike it can be stolen easier than by cutting the lock. But for everyday bicycles it is sufficient protection.)
If that makes anybody feel better: I regularly locked frame and wheel for about 40 years before I learned about this life hack, probably on this site ;-).
If assuming that the bike is not equipped with any additional locks, I'd also lock the rear wheel, for reasons already explained in other answers.
But to go a bit further than the initial question, you can also secure wheel individually, and then use your U-lock with the non-secured wheel, or just the frame if both wheels are secured.
The most common one is the "frame lock" for the rear wheel if your frame allows it. It looks like something like the picture below (most don't have a chain attached though). Then you can use your U-lock with the front wheel.
A another solution that I find elegant (but haven't tried personally) is the Abus Nutfix (if there are similar products, I'm not aware of them, and it can also be used for seat tubes). The way it works is that you can only remove the wheel if the bike lies horizontally, so if you bike is attached vertically, there's no way to get the bike horizontally and then remove the wheel(s). You can secure one or the two wheels, then use your u-lock with the unprotected wheel or just the frame if both wheels are secured.
[EDIT]: the Pinhead product line seems also interesting to secure wheels and other bike components (Thanks Chris H)
It is as if answering "If you have to cut your arm or your leg, what will you choose?" There is no right answer, I am afraid.
The bicycle is unusable with only one wheel, so having any of them stolen means you walk home, and have to buy a new wheel before you can use it again.
The front wheel is cheaper, but is also usually easier to remove if not locked. For a seasoned bicycle thief, the difference in time to finish the move is negligible.
If you're parking in a way that the bike is in danger, perhaps don't park there. See if you can store your bike inside, somewhere better.
If you have absolutely no choice, then lock both wheels to the frame and to an immovable object by taking the front wheel off the bike and attaching it to your lock.
Getting a second lock is also a practical solution, though it means carrying twice the weight in locks. If you routinely park in places like this, swapping a QR wheel axle for a solid one with nuts can help too. You will need a ~15mm spanner in your toolkit for puncture repairs. There are fancy wheel nuts that need special spanner tools, but overall effectiveness is debatable.
I think that generally does not matter because the lock is more to prevent somebody to jump on and quickly ride away. Just do not use a cheap lock that can be cut away in a matter of seconds.
Regardless of how do you lock, lots of parts still remain accessible and removable. But not all thieves are interested in parts and non-rideable bicycles.
If the front wheel is easy to remove (i.e. has a quick release) then it's generally fairly easy to remove it, place it beside the back wheel and lock both and the frame to some sort of post using standard bike locks.
Otherwise, I'd use a good solid D lock or similar to lock the back wheel and frame to the post (you must always ensure the lock goes around the frame so that thieves cannot remove the back wheel and take every but it! Then use a cheaper/lighter chain/cable lock to lock the front wheel to the frame.
Also if the seat has a quick release - remove it and take it with you. And remember to remove anything removable like a computer - I lost a few computers and at least one seat when I used to commute to university many years back.