You really have 3 options.
1) Leverless binder bolt. Instead of a quick release with a lever, it is just an allen key bolt. Someone would need to be carrying the allen key to get your saddle.
2) Several companies make thin cable locks designed to wrap around the top tube and around one of the rails of the saddle. Depending on how high your saddle is, you might have to drop it down before you would be able to threat this type of cable.
3) Take your saddle with you. Though this is the most inconvenient, it is the most fool proof.
Cheers,
Juba