I was browsing the web the other day when I stumbled upon an anti-theft system called Pitlock. The idea is to take a normal allen key or quick release and replace it with a uniquely shaped bolt or skewer that you can only open with a special tool. But theres not just one special tool, theres 256 shapes and your set of bolts will be one of 256 random shapes, so unless the dude trying to strip your bike rolls with 256 pit tools you're good to go.
They make skewers for both front and rear wheels, bolts for brakes, seatpost binders, stem top caps, and some other random stuff. The seatpost binder is a lot more effective than running an old chain or a snowboard lock between the seatstay and saddle rail as a ghetto seat/seatpost lock. The stem top cap is will keep your threadless stem/fork from getting jacked. From what I can tell they don't make pit shaped 15mm nuts for track hubs or bolts for Phil Wood hubs but the quick release skewer is good if you're riding with a Hed 3 or something crazy like that in the front. They're abit pricey though, maybe just stick with super glue & ball bearings in your allen nuts until you save $50-100 for a set.
available online from Peter White or directly from the manufacturer