This sucks. People are effers. I suppose it’s better to lose the wheels than the frame, but it’s really still such a feeling of violation. Bikes don’t feel like material things to most of us.
One alternative to two U-locks or one U-lock and one cable is one U-lock and one chain, like the Kryptonite Keeper 785. I keep one wrapped around my top tube of my daily bike, then keep a U-lock on the rack at work. Nothing’s foolproof but I’ve seen/heard of too many cut cables.