I always tell people to place the U-lock inside the rear triangle of the bike, more specifically, slide the lock right into the rear triangle wrapping the tires than onto a railing or bike rack. Note though, if the bike rack is the hdb kind…. You will have to lock your bike horizontally, taking up many slots instead of the usual just the front or back wheel in.
For a slightly more secure lock, include the chain as well.
Why this method? If the theft would like to remove the rear wheel, the theft wouldn’t be able to do so, because obviously you have your u-lock wrapped around them. But let’s say your rear wheel is quick release, oh no! But fear not with this method the theft, even if he released the quick release wouldn’t be able to get the wheel off the bike since you locked it through the triangle.
Now why just the wheel? Let’s explore the options, suppose your u-lock is unbreakable (the toughest there is), the other way to get your bike is the cut the frame. But what is a bicycle without the frame? The wheels than, the theft will cut that! But hold on, how to you cut tires? Tough rubber that were designed to withstand cuts from glass or worse! Some tires even have wire bead or kelvar in them, it would certainly be a ridiculous chore to cut through those! And after the tires? The rims! being almost solid metal cutting thought would need a power tool or equivalent and once you do actually cut through the rims, the tensions in the spokes will be released violently probably poking the theft in his eye seriously injuring him.
Well go on then, lock your bike well :)
Btw, that is my new tri-athlon bike! Sweeet, haven’t got much chance to ride it though.