I'll always put my laptop in the room safe if one is available, or try to use a Kensington lock.

Often though, the safes are too small, or I can't find something solid enough to wrap the Kensington lock around, in which case I still leave my laptop but I always put it out of sight.

I do worry when I can't lock it up though, as a lot of travel insurance policies won't cover valuables (inc laptops) that are left unattended in hotel rooms.