This isn't absolutely secure, but this prevents quick swipes, especially if you have a quick release seatpost binder. To do this, you need a chain tool to break and reconnect the chain links. Some bicycle multi tools come with a built in chain tool, or you can get a cheap tool for about $5 or something a little fancier for $13 and change (plus tax and shipping). You'll note that Ana also uses a couple of sections of inner tube to protect her bike's finish.
This is on Ana's "SUV", her Xtracycle Free Radical equipped bicycle. Ana Banana is a Portuguese bicycle nut.