I wheel mine across stations since it takes so little time to fold it up. All the London stations anyway have wide load gates.I have taken it on a train and although it works, carrying it through the larger stations with loads of platforms is quite hard work, especially if you are rushing to catch a connection.
If I go up steps as at Waterloo to Waterloo East, I hook the saddle nose over my shoulder and can actually carry it up the stairs/ escalator hands free like that.
I never leave the Brompton locked up outside anywhere and know few Brompton owners who do. Unfortunately everyone knows they are expensive and being so portable they are far too easy to flog to some (ahem!) 'bargain hunter' down the local boozer.
The battery on my Kalkhoff locks on anyway but when I leave it at a regular stop, or for a long while, I thread a cable through the handle which plugs into my Axa lock after wrapping around the lamp post or whatever. It provides double (if not that secure in itself) security for the bike at the same time as my Abus heavy duty item provides the real security.
There's really only so much you can do before taking the bike becomes more trouble and worry than it is worth. A matter of balance, I suppose.