Disklok with the steering wheel cover for me. Went and bought it 5 minutes after picking up the car. I have been using it for 8 months now and it has not left any marks on the steering wheel - though, I always turn it about 20 degrees clockwise, so that the top hinge is not pressing down on the wheel. This also makes the lock more visible through the windscreen. It is a bit of a tight squeeze to fit, but as long as you sit with your legs out of the door, rather than sitting in a driving position, it's easy.
The problem with the other types of lock is that the wheel can easily be cut without the need for power tools. A good hacksaw will put two cuts through a wheel in a couple of minutes. The only way you're getting a Disklok off, is with a grinder.