In my state there is no helmet law. People would be more apt to steal a bag of dog pooh than a lid around here.I carry my helmet with me. If I am going in an air conditioned building I want it to absorb some coolness.
For short stints at an outdoor event I will run a cable lock though the chinbar and sleeve of my jacket.
Using the strap to lock the helmet won't keep thieves from taking the helmet, but does help keep honest people honest.