Depending on the level of risk, you can secure your phone to a point that thieves would rather leave your phone alone!
1. Go to your security option in your settings. You will see an option to encrypt you device. Depending on how secure you want your phone, the maximum encryption allows the phone to ask you for a alphanumeric password at the boot screen an again on the startup screen. You can even encrypt your external SD card (if the option is available).
This will allow your phone to keep your sensitive information from getting in the wrong hands. Encryption can be hacked only with very advanced softwares that are not available to petty thieves. Any risk of breach will wipe your phone clean to avoid your info being compromised.
2. Get the app "Where's my droid/iphone". This app let's you take control of your phone when you can't find it (whether it's lost/stolen). You can unmute, ring, access camera to take pics, even locate your phone using the GPS tracker and get a live feed on Google maps. It is very practical such as if your out with friends and lose your phone, you don't have to find a PC - you can simply use your friend's phone.
All modern android phones have a "Hide app" feature which you can use to hide this app to buy yourself sometime before you phone turns up in a market somewhere. If your phones dead (or destroyed somewhere) you can still get the last known location on the map. If a thief changes the Sim card you can register an alternate number (friend's or family member's) and they will receive a notification with the new number.
The combination of these two things will give you a piece of mind that you did not have in the past. I have left my phone in cafe, bar, and even nightclubs; I have found it everytime. I have had my phone stolen by a teenager before and I was able to recover it. I still have the same phone!
***Edited to add labels***