I've seen a few people, specially bike messengers that use a main lock to secure their bike to a post/fence/etc. but also have a second smaller one to lock the other wheel around the frame.
Which is a good option for this second lock?
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You have some options:
1) Ulock the frame and use a cable like the kryptoflex http://www.kryptonitelock.com/products/ProductDetail.aspx?cid=1001&scid=1001&pid=1124
2) Ulock the frame and use security skewers like pitlocks or hublox http://www.pitlock.com/ http://www.deltacycle.com/Hublox-Security-Skewers
3) Buy another ulock and double lock your bike
4) Go european and get a ring lock for one of the wheels and secure the other with the ulock. I'm not sure if you can mount a ring lock on the front, so you would probably need to secure the front with the ulock. https://www.amsterdambikesusa.com/products-page/locks/axa-defender-rl-black/
I tend to prefer to use set of good security skewers with a ulock mostly for the convenience of carrying less stuff. Allen key skewers are also available but don't provide as much protection as specially keyed skewers like pitlocks.
Let me throw out my "modified" Sheldon Brown method: http://www.802bikeguy.com/2011/07/the-modified-sheldon-brown-bike-locking-strategy/
Generally speaking, you can lock your bike and both wheels with just a small U-lock and a cable. Start by locking your bike according to Sheldon's strategy (through the part of the rear rim that's inside the rear triangle).
Then loop the cable around your front wheel, hooking both ends around the U-lock.
I use a lock from http://www.pinheadcomponents.com/ instead of having a Quick Release: so the wheels are already locked to the bike, and I needn't carry a secondary lock.
I would suggest the Abus Granit Futura 64 Mini Shackle Bicycle U Lock - 150mm. It's lighter than most U locks with a "11 Level" security.