To Mr. Gygax, his son, and all the others who have suffered at the light fingers of the two-legged rats, I wish there was something I could do to help you regain your property and extract punishment on the ratia bipedius felonious.
I showed the thread to a friend of mine, who retired from law enforcement some years ago. He offered the following advice to me:
* Crowds attract thieves, especially in crowds where most people are distracted (by a good-looking man or woman in a cosplay costume, for example). If you're in a crowd, you're a target.
* Never carry so much that your movement or vision are impeded. Never carry so much that you don't have at least one hand free. (He also mentioned that it's trivially easy to unzip a bookbag zipper, and gave me a couple of small padlocks, with spare keys, for my bag.)
* Never let your property out of your sight, especially in a large open room with lots of traffic - like a convention.
* Never keep all your cash, credit cards, and ID in your wallet - especially men. The back pocket is one of the easiest to pick, followed by purses. (Note: He said that purses are a little more difficult because you can't always find the wallet on the first try, but the wallet in the pocket makes a clear outline in regularly worn pants, or if the wallet is fat.)
* Engrave or label (with a permanent marker) your stuff. He mentioned that you can buy little plastic protectors for your cards, and permanently seal them with a little glue (be very, very careful, tho.) Then you can write on the protector without damaging the card. Not a perfect solution ("Only a real idiot crook would leave the card in a marked protector"), but it does mean that the rat will go for a target that takes less work.
* If you've got your valuables out on a table, and someone wants to show you something "cool", watch out. The setting the binder/paper/briefcase (sometimes with tape or rubber cement on the bottom to make a cleaner getaway) on top of the merchandise, distracting the watchers with a show, and then walking off with the goods is an old trick.
* Make photocopies of your ID and credit cards (front & back) before going on the trip. Keep one copy for yourself. You can usually mail the copies to the hotel you have reservations at and have them keep it in the hotel safe. This way, if your stuff gets stolen, you can at least report all the important numbers to the various agencies without having to sweat it.
* Always lock your car. Never leave easily visible goods in your car. (I don't think I've been to a game- or non-game convention yet where someone forgot to lock their car and had stuff stolen. Guess how many security guards there are in the parking deck at most hotels? A: 0.)
* Take pictures of your valuable items (MtG cards, miniatures, rare signed copy of Deities & Demigods with the Melnibonean pages, etc.) and carry copies of the pictures with you. If your stuff gets stolen, you have something to show convention/hotel security. It doesn't improve recovery chances by much, but if you hand out pictures of the stolen stuff in the dealers' room, the dealers may spot it. Most dealers have been theft victims before, and will sympathize. At the very least, you'll make it more difficult for the rat to steal anything else, and you may get lucky.
* Most rats know about moneybelts, but one will protect your emergency cash from the casual thief - if you actually wear it and don't leave it in your hotel room.
* There are also necklace wallets (basically, a lightweight wallet on a lanyard you can wear around your neck - make sure it's a break-away lanyard in case you get mugged) available for a few bucks. You can keep some emergency cash, a spare credit card/privacash card, and a driver's license (or photocopy of your driver's license) in one. He also recommended that you avoid the ones with a flat plastic lanyard, as they're very uncomfortable and the edges can chafe. If the rat is good enough to lift it from around your neck and inside your shirt, there's nothing you can do to stop him anyway.
* Under NO circumstances take the law into your own hands. The laws governing retrieval of your own property from a rat vary from state to state (and country to country). If you spot the rat with your stuff, take a picture of him with your camera phone, digicam (the one you used to take pictures of your stuff - you've still got it with you, right?), or whatever, scream/shout/make a scene to attract *lots* of attention - and so all the bystanders get a good look at the rat, and show the picture to the local authorities. Be careful, though. Accusing the wrong person carries penalties in some locations.
He ended the lesson with this: Most thefts are done by opportunistic rats. The rats go after the easy marks. If you make yourself more trouble than it's worth, they'll go for easier pickings.
I hope this helps!