We left the US to go cruising in 1986. The worst place for petty theft back then was the USA, with the Caribbean the next worst place, and I believe it's about the same now.
that said, we rarely lock our boat, let alone worry about anybody stealing from us. If we were going to be gone for a full day, and would be returning after dark, we might lock the boat. If we were going to leave the boat for several days we locked the boat.
Our boat was "robbed" only four times. In the Solomon Islands, where we NEVER locked our boat, our American flag was stolen off our backstay during the night while we were sleeping on the boat. The boat was open, anybody could have come aboard, nobody did.
In Venezuela, one afternoon while we were wandering around, somebody came aboard and stole our mask and snorkel that were laying on the cockpit seat. Nothing was taken from inside the boat.
In 1988 while our boat was anchored in Simpson Bay Lagoon on St. Martin, Caribbean, and we were living in our apartment on the island, somebody broke into the boat and stole some of our pots and pans. There wasn't much on the boat since we had taken most stuff off so the boat could be thoroughly cleaned, but regardless, nothing else was stolen.
the only serious theft was when we were anchored off Sibu City, Sabah, (Borneo) Malaysia. The Rajang River is so swiftly flowing and had HUGE logs floating down the river that we anchored behind a large barge that was anchored there so logs would hit that, not us. We had just bought a new outboard motor at an extremely good price, and were getting ready to return to peninsular Malaysia. We had stowed our dinghy and padlocked both outboards, old and new, onto the stern rail. When we woke up the next morning to leave, we found that during the night somebody had come aboard, using a bolt cutter had cut through the chain securing the outboard, and stolen both our outboards!
Peter flagged down a fellow motoring by and hitched a ride ashore (no way he could have rowed to shore in that swift-running river). When he reached shore, the fellows greeted him and were outraged to hear that we had been robbed.
More details of this are on our sv Watermleon log page, this entry: http://www.cruiser.co.za/hostmelon21.asp
I'm sorry to take up so much bandwidth on such boring tales of criminal activity. We just haven't experienced many problems at all, and so we still don't make significant efforts to protect ourselves from theft. Pickpocketing seems to be more of a problem, though it only happened to Peter once, in San Jose, Cost Rica. And the thieves got about $2.00
I do have a suggestion, however. When we were heading for Papua New Guinea we were warned of the high incidence of theft off boats, so we built a burglar alarm. It was a car alarm triggered by a pressure pad - if anybody stepped into our cockpit when the alarm was armed, it would set off the alarm, making loud noises. Motion alarms wouldn't have worked - too many things would have set it off, but the pressure pad worked really well. Thieves do not want any attention called to them, and we felt that it would deter anybody from entering our boat.
We set is a few times, then got too lazy to arm it every time we left the boat. it would not have prevented the outboard thefts, though, because there was no need for the thieves to step into the cockpit.
The only place we ever asked anybody to keep an eye on our boat was in Salinas, Ecuador when we took a two-week inland tour of the country. Nobody stayed on our boat - friends on another boat watched her in case the anchor dragged, and we had two local young fellows come by every day to clean it, polish the SS, and just keep an eye on it, but they didn't sleep on the boat, and nothing happened. We would say thaqt Salinas, Ecuador was a pretty safe place, however. We would leave our dinghy on the beach all day long while we shopped, and come back to find it untouched. Well, lots of sand in and on it - the kids would play around it, but no damage or theft.