My helmet lock has no key. I suspect the ignition key and gas tank key (which are the same) have been changed and I don't know the code for the helmet lock key. Does anyone have a keyed helmet lock they'd sell me?
Get a small combination cable bike lock - run it through the helmet face guard and lock it on the bike. You can also lock up your jacket running the cable through a sleeve if you want to leave it on the bike. If you have any kind of rack you just leave the cable wrapped up and locked on there.
Another thing I have used is a short cable gun trigger lock, sometimes available from the local police Dept. for free. They're just long enough to go through the face guard and attach to the bike and are very secure, small in size, and easy to carry or store somewhere on the bike.
I could post a pic if I can ever figure out how to do it.