I just got my 3rd helmet the other day (I'm a horder apparently), an Icon Alliance. I use the helmet locks in my apartment building, but when I park on the street I generally take it with me.. a friend of mine had his helmet cut off his bike last week. If I really really don't want to take the helmet with me, I use my HJC helmet, because I could care less if that one was stolen.
But back on topic, I'm sure you could buy some sort of aftermarket locking system if you don't feel comfortable with the stock helmet lock. Or buy a crap budget backup helmet to wear to the gym
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