Smartphone theft is becoming more common than purse snatchings as the phones themselves are worth more fenced ($65-$300) than the cash in your wallet. http://my.chicagotribune.com/#section/-1/article/p2p-76742086/
Smartphone prices may seem low because a big part of the handset cost is spread over a 2-year contract. But don't kid yourself -- if your iPhone 5 is stolen within that first two years, a replacement handset will cost as much as $675 -- that's why thieves can fence them for so much! http://www.huffingtonpost.com/2013/07/13/smartphone-black-market_n_3510341.html
Stolen phones are a GLOBAL market. The $675 paid in the USA is just plain unaffordable. That's why http://www.gazelle.com offers $65-$70 to buy your older iPhone 4 in good condition, but for an iPhone5 will pay three Benjamins -- three $100 bills! -- and resell it for even more!
Vendors like Apple and Samsung ARE trying to help via new anti-theft features... http://www.huffingtonpost.com/2013/07/18/apple-samsung-antitheft-features-tested_n_3613415.html
...but you still need to protect the access to YOUR data that your smartphone represents.
A) Make sure you have a LOCK code on your device. It may be inconvenient, but it's better than having someone else with control of your email account and other smartphone apps you've authorized! B) Turn ON the provision to wipe the smartphone clean following 10 failed passcode attempts.
C) Install a "find my phone/remote erase" application to ensure no one uses a lost/stolen phone for identity theft.
D) Finally, ensure your device is wirelessly backed up online so that when you get a replacement device your apps & info can be quickly restored.
Most of these features are built into iPhone; Android users should get an app such as LOOKOUT which provides similar capabilities.