If you can, lock your bike up around other bikes. At a train station, there's a good chance there's plenty of intermittent foot traffic. But yes, it's true, there will be stretches of quiet. In that case, lock your bike up with two locks if you're worried, or find a fancy bike and secure your bike next to it. Your bike won't look as appealing to thieves. In general, bike thieves target expensive models or whatever is easiest to snag.