Our major advice is that your mind-set is the most important thing in having a great trip. You have to hang together and share everything. If you don't let things bother you the worst experiences often turn out to be the best ones. Don't hang cameras around your necks. Have a secure place for your passports, Eurail passes, credit cards, and major money.
Some people use money belts, neck pouches, etc.
We've had money stolen from purses but never lost anything from our pouches. When you sleep on the trains be sure to secure your packs to the overhead carriers in the compartments. We carry a little chain to link things together, or we re-hook our shoulder straps around the carrier. These are just to cause a little fuss if someone is trying to take them. When you're fast asleep after a long day of walking you're not going to be too easily awakened.