I lived in Washington D.C and learned how to wear my bike lock (a Kryptonite chain lock) around my waist. Sometimes it was heavy, but you got used to it. Kryptonite was smart and put a cloth sleeve around it to prevent pinching and hard pain on your hips!
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How it works: (From Hiplok.com) Adjust the Hiplok around waist to a secure, comfortable tension as you would a normal belt or aircraft seat strap….
For a short time there is a discount I found on Facebook : Visit Hiplok.com and enter L2BHPK for 10% discount