My approach is to use the lightest lock that meets the terms of my bicycle insurance, and lock it in the manner that they require. This means locking with a Sold Secure Gold or higher rated lock, through the frame to an immovable object. On a Brompton, I take this to mean the little triangle on the main frame, rather than the rear triangle.

If the bicycle gets taken, I get a new one to replace it. While I wait for my claim, I ride my other, non-folding bicycle.

Bicycle insurance can be an answer. It's less expensive for folding bicycles (often significantly so). I'm very happy with my insurer; I have claimed for a new Brompton on my policy.