That sucks! Sorry to hear that!
I left my Giraffe chained just outside my front door for months.
Then, I needed an extra chain/lock, so it’s just been outside my door unlocked for about two months.
I think I might go lock it again now. 
I always use a cable rather than a chain, simoply becasue you can’t use bolt cutters on it, and you can’t hacksaw it effectivey because it bounces around too much, and you can’t pry it like you can a D-Lock because it isn’t rigid. Also, you can get it through the whhel, one of the pedals and the seat handle (KH), I don’t think anyone’s going to bother trying to nick it after all that.
I’ve never had to leave my unicycle anywhere in the open - there’s a storeroom at work where I keep it (same when I use a bike) so it’s safe in there. I reckon locking the wheel with a bike lock would be good enough - anybody sad enough to steal a unicycle frame (and who happened to have an allen key on them) would probably still vandalise it if they couldn’t take the frame. To secure all bits you’d have to weld loops onto the frame, seat post, saddle and even bearing holders and put the cable lock through all those loops. I’ve never thought about locking potentially removeable parts of my bike, like luggage racks and handlebars for instance, that can all be removed with an allen key (but I did once have a bolt stolen from my rack while out touring - presumably some “fellow” cyclist had broken a bolt and needed a replacement 
). I lock both wheels and the frame (bike frames are more useful to people than unicycle frames).
Although I have to admit to not having ridden it any further than across my room for about a month, I tend to just lock my 29er to a rack or whatever’s handy with a cable through the wheel. The only problem I ever had with it was that I thought the seat with its quick-release looked a bit too tempting so i put a bolt through the clamp. Other than that I think all you can do is make sure you lock it up somewhere fairly sensible (i.e. somewhere with lots of bikes and where there are enough people to see it being nicked, not down some dark alley)
I also just lock mine to the bike racks. For some reason people find this extremely amusing. But probably for the same reason, whenever I forget my lock, I just leave it at the rack (“it” being my coker or my torker giraffe usually) unlocked and have never had a problem.
I’m not worried about theft because if someone did know how to ride, first of all they are obviously a good person and wouldn’t steal a unicycle. Secondly, if my coker got stolen and I later saw someone riding a coker who wasn’t the one other person in this city who owns one, I would be pretty sure it was mine and could steal it back. Similarly, if someone stole my giraffe for riding purposes, it would almost be worth it for the ridiculousness of the situation.
My only concern is some random drunk deciding to throw my unis around just to be a jerk. Which is why I rarely leave it on campus in the evenings.
Locking a unicycle through a wheel is fine. The thing to remember is that the average bike thief will be selling the bits on. Who’s going to buy a unicycle frame and seat? It’s pretty obvious that they’d be useless on a bike. I lock mine up because I’m worried that drunk people will thing it’s a right laugh to nick it (this is on a university campus, which has less effect than might be hoped for on the intelligence of the average drunk person), and it doesn’t take too much to deter them. I’ve got a tiny little 3 number combination lock, which could probably be cut with some decent scissors, but it does the job.
On a counterpoint to that - the bit about trusting people to not nick bike bits. If it’s even a slightly nice bike, then don’t. Ever. For bikes it’s worth getting one big lock for the frame, and a smaller cable for both wheels and possibly through the seat rails.
John
I cant even ride to school. i used to but now that the high school is in a different building rather than the elementary only 2 blocks away now i need to ride the bus which truly breaks my heart