Back wheel is costlier to replace (due to gearing, assuming it's not a fixie/single speed), so I prioritize locking the back wheel if I can only do one.
If you have quick-release axles and don't want to worry about having your wheels stolen, most bike shops have security axles, which have a special key to loosen the axle. I've used them in the past for some extra peace of mind. Just dont lose the key(s)!
EDIT: if you get a LONG, beefy chain lock, you can carry it around your torso like one of those ammo belts. Convenient to not need a backpack or pannier for short trips. Be prepared to spend some $$ on a good lock. It's a great investment.
Sheldon Brown is the man. Don't let the awful web design deter you: you can learn a ton of stuff about bikes on his site.