There's a reason a lot of people use those U-shaped locks to secure their bikes -- they're durable, with a thick metal that's tough for thieves to cut through. If you have the Kryptonite brand U lock, you'll still need to take some precautions to make sure the lock is secured correctly, including choosing a good location and placing the lock in an ideal location on the bike.
Lean the bike against the pole, with the chainring on the outside.
Pull up on the quick-release lever touching the front wheel's axle. Flip it to the opposite side from where it started, then loosen the wheel from the frame.
Set the front wheel leaning against the back wheel.
Slide your lock key into the U lock. Turn the key, then hold the crossbar. Pull the U portion to the left and right and away from the crossbar until the portion is released. For a combination lock, turn the dials to line up the correct numbers at the center of the display. Pull the U portion to the left and right and away from the crossbar.
Slide the U-shaped portion around the vertical portion of the frame just under the seat. Slide it around the pole, then around both tires. You may have to move the loose front tire around a bit to get the tire into a position where both fit into the lock.
Slide the crossbar onto the angled post of the U-shaped portion. Allow that side to slide in horizontally and then fall in vertically the rest of the way. Listen for the lock to snap shut. Pull on the U-shaped portion to make sure it's tightly secured.
Tips
If you have a second cable lock, you won't have to remove the front wheel. Secure the U lock to the back wheel and to the vertical pole of the frame, then place one of the loops of your cable lock around one of the U lock's posts. Wrap the cable around the front tire, and then around the other post of the U lock.
If you don't have a quick release lever, use a second cable lock to secure the front tire to the frame.