Sorry to hear about the helmet. I just bought a lock for mine yesterday because I knew sooner or later some jerk would take it. There are a few different kinds of cool locks on this site:
Helmet Locks
I don't recommend the little Master Lock carbinger (sp?) one though. I bought one locally from a hardware store and the latch doesn't open enough to get it around anything but a cable on the bike. I think the other Master retractable cable one looks cool though and ou can just pitch it in under the seat when you are not using it.