My curve was stolen from the gym by some piece of ghetto trash last month. Luckily I have insurance so I got a new one a few days later but it was still a pain to have to deal with.
Tips:
1) The most obvious: ALWAYS LOCK UP YOUR BERRY. NEVER TRUST ANY PUBLIC PLACE. If it's out of your sight for even a minute it could be stolen.
2) Use a password lock. That way, if it is stolen the thief won't have access to any of your personal information. After 10 wrong password attempts the device wipes itself (but at that point the thief can use it to make calls & stuff so be sure to IMMEDIATELY report the theft to your wireless provider).
3) I installed Roblock software on my berry so if it's stolen again I can remotely pinpoint the location on the web w/ its GPS, remotely wipe it, etc. Cool software, hopefully I'll never have to use it.