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I know they are easy to get round. It's just an extra noisy thing to maybe attract your attention before the bike walks away, and will put off the casual little scrotes rather than the serious bike thieves.
Similarly, parking in plain sight rather than in a dark corner won't deter a professional bike thief, but I've had three bikes suffer minor vandalism which might have been prevented if they weren't slightly out of public gaze.
Disk lock with alarm, on front wheel.
Back wheel locked to something solid.
Alarm (^Like he said).
Cover.
Park near a light source. Under a streetlamp is way better than in a dark corner.
Honestly though, an alarm is really only any good if you're within earshot of it. Most other people will just tut that someone's alarm is going off, and won't even open their curtains to have a look.