Here's some great tips from the NYPD on how to protect your belongings:

+Keep your keys separate from your purse. If your bag is stolen, the thief will not have access to your home.
+Never carry a wallet in a rear pocket, use a front pocket or an inside coat pocket.
+Be aware of parking lots.  Thieves will often approach a woman alone in a car and tell her she has a flat tire or an oil leak to lure her out of the car.
+Never hang your purse over a chair in a restaurant.  Keep your purse in your lap.
+Keep your purse over your shoulder on a short strap with the flap facing your body.
+Be alert when approached by a stranger asking for directions or the time.  Thieves use this as a distraction to seize belongings. 
+Avoid talking or texting on your cell phone while walking, thieves look for distracted people to victimize