Coming out to your bike and finding the seat missing or a wheel gone is the worst, and replacing it is expensive. You can make it a little harder for would-be thieves to pilfer your seat by filling in the bolts needed to remove it with a little wax.
Image from due_mele
Fill each Allen bolt's head with wax or bike grease, then push a ball bearing into it. Now anyone who wants to steal your seat (or wheels) has to remove the wax first, standing there scraping it (and the bearing) out before they can take the seat and run. You're using a common theft deterrent: making yourself a more difficult target, which encourages thieves to move on to an easier mark. While this does also make it harder for you to take off your seat, the inconvenience is worth it. After all, you can spend as much time removing the bearing as you want — it's your seat.