Welcome and please know that you're not alone. There are a lot of folks around here that are in urban environs.... I'm sure you'll be able to find people who are on the same page as you. Chicago has some unique issues with their legal system and also unique risks that we've noticed by watching their crime rate as of late....
Living as close as I do to DC, I am of the opinion that the best option, if at all possible, is to BUG OUT and get as far away from the dense population centers as we can. If you have time to get out to the woods and practice some primitive lifestyle techniques, I would be inclined to think that's a great plan of action. Secondly I would think of security in the urban area. All the stocks of food and supplies don't mean a whole lot if you can't keep them from bandits.. I'm sure this is all on your mind already though...
Thanks for joining and please help others in similar situations figure out what is the best approach. We've been working on Meet & Greets and planning camping trips etc to try and get more and more members together so that if a crisis does come our way, we're not having to go it alone.
-Alabaster