After the last thread about this I had a look, and Sheldon's right that if that locking is done with the lock inside the rear triangle you can't get the wheel out.
I'm not sure what it takes to cut through a rim, but I'd still rather lock through the frame and wheel when possible to keep the amount of play and jack-attack space down.
Marinyork's comment about the quality and suitability of Sheffield stands applies in more places than Sheffield and Sheldon's method helps with some of them, as it does when other fixed objects have to be used.
I still haven't worked out how to satisfactorily secure the front wheel. I don't have QR on either wheel normally, and use a 10mm cable plus alarm lock on the front if it's going to be locked up in public for more than a few minutes. The cable goes through the front wheel, the frame, and the stand or whatever else I'm using. If anyone has a better idea I'd be most interested.