I don't bother with mine - I think it still has crud in there from 20 years ago.
The problem with those steering locks, is they aren't visible, so it is also very possible that you might forget about it one day and end up with your bike on the ground.
They also aren't that strong - a good hard SNAP of the handlebars usually provides enough leverage to break the internal pin, and the thief can just wheel the bike away.
I think having the visual deterrent (and reminder for us aging forgetful types) of a good chain or cable and lock dissuades the casual thief, and at least seriously slows down the accomplished thief. Though with 3 or 4 big guys and a van they can certainly walk off with any bike they want, except maybe a Goldwing - only its sheer size gives it protection - like a shark coming up on a blue whale...