I use an Autolock. As long as you put it on snug and tight, it would seem very difficult to get off.

I also use a Club, but not on the steering wheel. I put the shifter in 5th gear, pull the parking brake as far up as it'll go, and lodge the club in between, lock it, then release the parking brake on the club so theres tension, and voila more time for a thief to jack my car. The arm rest gets in the way, and the bend in the shifter makes it more difficult to remove. Try it out guys.

I also turn my wheels all the way in one direction so it makes the car more difficult to tow.

Of course I also have an alarm.

I usually dont go through this whole "routine" unless I'm not within earshot of my alarm (about the only time i'm not within earshot is if i'm at school, where theft is quite common)