It's a fact that steering wheel locks are defeatable. Through the wonder of Google, you'll find people everywhere who can easily pick the lock or cut through them with some power tools. Most will follow up their success of defeating the system by saying these things are that effective. That's simply not true.
Here's another fact: Car thieves don't want to stick around too long. Even if they can defeat your security measures, the longer it takes them to steal a car, the more likely it is that they will be caught. The more difficult it is to defeat, the better. Which is why you want to take your time shopping around. The good news is that you're about to learn a little more about how to do just that.