Stochastic Gradient Langevin Dynamics (SGLD) is a sampling scheme for Bayesian modeling adapted to large datasets and models. SGLD relies on the injection of Gaussian Noise at each step of a Stochastic Gradient Descent (SGD) update. In this scheme, every component in the noise vector is independent and has the same scale, whereas the parameters we seek to estimate exhibit strong variations in scale and significant correlation structures, leading to poor convergence and mixing times. We compare different preconditioning approaches to the normalization of the noise vector and benchmark these approaches on the following criteria: 1) mixing times of the multivariate parameter vector, 2) regularizing effect on small dataset where it is easy to overfit, 3) covariate shift detection and 4) resistance to adversarial examples.