The best way before your phone is stolen or lost is to do something by yourself. There is a lot of software on the internet which allows you to get information about the current MSISDN (phone number) using your phone, location of the phone (if your phone supports GPS or by CELL info), to delete your phonebook remotely, to lock your phone etc…

Here is a list of some anti-theft, tracking, locating software for mobile phones which works on different platforms, some of them are FREE and some are commercial.