Write your cell phone serial number down and keep it in your wallet. You can find this number by pressing *#06# on your keypad. A 15 digit number will appear. If your phone is stolen call your carrier and give them this number. They will be able to block your handset so that it can't be used.
You probably won't get your phone back but at least whoever stole it can't use it either. Just think if everyone does this, there would be no point in people stealing cell phones.