Most of the bikes I have heard of being stolen seem to have been secured with cable locks, instead of a U-lock.
Yes, cable locks are lighter and easier to carry than a U-lock. But, a cable lock is so easy to cut with a $20 pair of bolt cutters that you may as well put a "Steal This Bike" sign on your bicycle. Seriously, despite knowing this - and you do know how easy they are to cut - so many people insist on using them that I am surprised that even more of your bikes aren't getting stolen.
U-locks are heavy and they can be a pain in the ass to carry, but using one of these can protect your bike from theft a lot better than any cable lock I have ever seen.
Remember Adchoppers? In case you don't, here's a history lesson: some idiot thought that it would be a great idea to lock a couple dozen Schwinn Stingray bikes to bike racks around the Downtown, Waikiki and University areas with signs on them for people to advertise their businesses. He thought that it was such a great idea to have a bike locked to every single bike rack on Bishop Street and lots of racks in Waikiki that it just couldn't go wrong and he'd have people paying him over a $100 to place their ads on his bikes. I think it was $125 per ad, per bike. He almost never had any ads on them and his bikes were vandalized almost from the beginning by people angry that he was using-up half the available bike rack space all over Downtown.
To make matters worse for himself, he used cable locks. Not the cheap ones, but they were thicker than the usual ones you see. Still, they were cable locks and most of his bikes ended-up getting stolen. He finally wised-up, removed the bikes he still had left and forgot the whole thing.
The lesson here is that a cable lock might seem convenient, but they are just cheap pieces of shit whose only selling point is that they are lighter. Not more secure or even as secure as U-locks, just lighter. Even bike shop owners admit that cable locks don't protect your bike like a U-lock does, but people still want them because they are lighter and they are cheaper.
Get wise to the Real World, people! Buy a Kryptonite or OnGuard U-lock to secure your bike. They may be heavier and more expensive, but they are a better guarantee that your bike will still be there when you go back.
An even better choice is a Kryptonite Chain. Way heavier than a U-lock, but it's even harder to cut than one. Some people have issues with the little U-lock that comes with it, but I never had a problem with it.
You've got to stop letting thieves steal your bike just because you don't want to carry a heavy lock around. Be smarter than the thieves and you can keep your bike.