Either lock it in a top case or take it with you.
If you leave it unlocked, you are likely to come back to a missing helmet. There was a get together here in DFW a few months ago where some kids drove up to a group of parked bikes in a truck. One kid leaned out the window, grabbed a helmet, and they took off. There were 10-12 riders right there, but by the time anyone could react, the thieves were gone.
If you lock it to the bike using the under seat lock, thieves have been known to just cut the helmet strap. If you must lock it to the bike, use a steel cable around the chin bar and through the eye port.