The preventative to having a chain fall off and get lost seems relatively obvious: secure it properly, just as you would a duffle bag containing your underwear and socks.

I'd have to wonder about whether a heavier chain or lock is "as easily cut" as a lighter one. Taken to extremes, that would mean that a hardened 14mm chain could be cut as easily as the light-duty, mild steel chain you last used to secure your bicycle in elementary school. This fails the common sense test. Same goes for the 18mm shackle on the u-lock I currently use to secure my favorite mountain bike--which furthermore locks at both ends, so that it must be cut twice before it will release its equally-robust chain.

That doesn't mean your average London thief won't make quick work of either; I can't claim to know what works against a determined, professional thief. But there are degrees of risk in thievery as there are in riding practices. You probably wouldn't park your bike unsecured and unattended down a dark alleyway just because it might also get stolen when parked under a street lamp outside the police station.

In response to the OP, when I'm carrying lock and chain I put them low in my luggage, which is usually a hard case on the back. This requires digging through everything else to pull them out, an undeniable annoyance, but I've found it preferable to putting all that dense weight up high. When I'm not carrying a lot of baggage (therefore without cases or panniers) or feel extra lazy I drape it over the very back of the seat, bungied securely and locked to my pannier rack. Padded with whatever's handy it doesn't draw complaints from pillions; nor does it interfere with any extraneous baggage I want to carry there.