Thieves look for easy access. Don't give it to them. When you go out, keep your keys with you. Don't leave them in a jacket that you toss on a chair in the library, at a party, or in a bar. Never carry anything on your key ring that could identify you.
Property is much less likely to be stolen if it is engraved.
If it is taken, it is more likely to be recovered. Finally, use common sense. Be alert to your surroundings. Take advantage of the safety measures provided to you. And most important, trust your instincts.