I do the same thing. I bought one of those thin stretchable cables at home depot and a small lock....I can lock multiple helmets to the engine guard. takes up no room in the saddle bag and is more versatile then a pure helmet lock
had a friend with a $500 carbon fiber light helmet - someone cut the neck strap hooked to the lock and got away. was on an organized ride with about 30 bikes the wind came up strong while we were inside restaurant - helmets that were locked on bikes were flying around like balloons - damage to side cover and tank paint and helmets - if it doesn't fit in tourpac just carry - last weekend at laughlin river run I went into a casino/hotel and had them hold my helmet behind counter with business card.
For guys with bags that do not lock. Go local hardware store pick up a few feet of cable, crimps and decent pad lock. Makes a helmet lock and cable can be run thru your riding jacket sleeve. Lock every thing to your frame, sissy bar, rear wheel, what ever.