The most important thing you can do to protect your investment is to register your bike with the police.
Engrave your own serial number
When purchasing your bicycle, be sure to note it's serial number, but also have your own identification number engraved on various components of the bicycle.
Take photos of your bike and keep them as up-to-date as possible. If you incur any visible damage, snap a new picture.
Choose the right lock
A good rule of thumb when choosing a bike lock is that the cost of the lock should reflect the value of your bike. For maximum security, choose a sturdy, durable u-lock and a cable. Some locks come with theft insurance.
Pick a smart spot
When choosing where to lock your bike, look for a large, immovable object. If you are locking your bike up at night, choose a spot under a light.
Lock all the parts together
Secure all the different parts of your bike by looping a cable through both tires and the frame before securing it.
Take your accessories with you
If your seat, lights, basket or saddlebags are valuable to you, remove them and bring them with you.