I've never used the helmet lock either, rarely use any under-seat helmet lock since I'd have to take the luggage off, and that's more hassle than just taking the hat with me.
If I'm going to be gone a few hours or someplace I won't have room to schlep all my gear, I run a 6' bicycle cable through the helmet's face opening, one sleeve of my jacket, a strap of my back protector and one leg of my pants, and lock it all to a wheel with a padlock. Gloves go into a saddlebag, boots just stay next to/under the bike, maybe underneath the jacket. Never had anything walk away on its own.
Then again, I once left a pair of Oakleys lying on top of my saddle for like four hours at Vintage Days, and they were still there when I got back. (Only to be eaten by my dog a month later ...)