I didn't lock my boards up until I started getting ones that a lot of boarders know are valuable (like the Lib Tech Skate Banana). Now, I keep a simple Burton lock that I picked up for $5 at a spring sale handy and rest easy knowing that my board won't be getting nabbed easily. It really is worth it to pick up one of these cheap locks.
EDIT: Here is my exact lock. Highly recommended.
Burton Cable Snowboard Lock - Free Shipping at REI.com
just a heads up. I used this, forgot the combo and clipped it in one swipe with a small pocket tin snip like this:
Trademark Tools Heavy Duty Aviation Tin Snip: Tools : Walmart.com
no one around even questioned my actions and I wasn't trying to hide it. I could steal your board with that lock in under 3 seconds, or the time it takes someone to turn his head.
A better idea for cheaper is a bike seat lock-
OnGuard Akita Seat Leash Cable - 5mm - Free Shipping at REI.com
use a pad lock of your choice. Small enough to carry in your pocket but you need a more substantial wire cutter to get through this baby.
I returned my cut burton lock to REI