I wonder what you could usefully do with a Kensington lock on the train. I bought one for use in cafés although I haven't used it most of the time.
You could attach it to something bulkier or something that you could put under the seat, maybe. I don't remember if New York subway seats have an exposed bar underneath that you could lock it to. I'm sure locking it to the vertical poles in the center of the car would be extremely antisocial.
Just my opinion, but I feel Kensington locks have little value.
Sure, maybe it will deface the stolen item when it gets ripped off, but for a thief, the device is still usable, and it can be sold for parts or at a discount. We are talking about the sorts of people that steal bicycle wheels and seats.
Their utility is in keeping honest people honest. For example, keeping office workers or customers from just walking off with or moving assets.
Wear it like a belt while attaching it to the laptop (If you don't mind looking a bit ridiculous).
Although I'd highly recommend putting some cloth around it, or fitting it through the belt loops of jeans/trousers to soften the inevitable 'yank' when it comes.