Is a bike pretty much impossible to steal if you use a U-lock?

There are better and worse U-locks. Some have parts inside that will rotate with the blade of a hacksaw, making them much more difficult to cut, and some don't have that. Providing that your U-lock is a good one, then the part of the bike you put the U-lock on will be nearly impossible to steal but your rims, seat, any lights or accessories, will all be possible to walk off with in less than a minute and all a person needs is an Alan key to get further parts off, although that's less likely I have seen a few stripped bike frames locked to things.

The most practical lock setup IMHO is a high-end U-lock around the frame, one rim and the lock structure and a cable lock running through the other rim, locked with the U-lock. Take the seat with you if you're not comfortable with the locality.