Locking Your Bike

This article has excellent advice for city locking:
http://lifehacker.com/5942301/the-proper-way-to-lock-your-bicycle

To add a few points:
Don't ever lock your bike to the thin beams of scaffolding. They can be unbolted easily.
Double check that you actually put the lock around the bike and the pole. You'd be surprised how many bikes are lost this way.
A smaller lock is not necessarily better, but can be lighter and cheaper.
A lock that retails for less than $30 is not good enough for NYC.
Overnight locking is always much more dangerous.

To reinforce a few points:
Do not EVER use a cable lock, unless you are using it in addition to a serious lock.
Thieves go shopping, make sure your bike is not a good "deal." Compare your bike to others on the block, if you have one of the nicest bikes, you need to make sure you have the best lock.
ALWAYS make sure to lock in at least one wheel, this will also prevent the bike from falling/rolling into the street and getting run over by a car. With the Sheldon Brown technique, no lock is too small to accomplish this.

What do I do if my bike's been stolen?

1.) Find the bike's serial number (make sure to write it down before the bike gets stolen!)
2.) File a police report with the serial number. This way if the bike shows up they can return to you.
3.) Check Craigslist vigilantly. The bike is going to be cheap to sell fast, and the brand may even be purposely misspelled so that you can't find it by searching. If you have the serial number you can show up with the police and get the bike back on the spot.
4.) It's unlikely you'll happen upon your bike on the street, it's a big city and your bike is likely now in a different neighborhood than you live in.

What is the NYPD doing about stolen bicycles?

Not much. In NYC, they have lots of more violent and serious crimes to worry about, and would rather a criminal steal your bike than hold people up at gunpoint. Bike theft will continue to be rampant until we, the bike riding public, do something about it! This means better locking and more police reports. Poor locking techniques are way too common, making bike theft easier. If stealing a bike took an average of five minutes instead of thirty seconds, thieves might decide the risk isn't worth it (a big maybe, but a good start).. Right now, less than 10% of bike theft is reported. If that number jumped to 50% police might start doing something.