There is only one person who can determine what is important and what are risks of your device, and that is only you. Whether you use a desktop computer in your home/office, a laptop, mobile or PDA in a public place, you must take measures for your device before some burglar or thief take it away. In that case, you have lost your device and of course your data.
If a thief is succeeded in accessing your machine then all of your stored information/data is at risk. At first you must secure your device. Following measures are shared to secure your device.
Password Protection
Keep your device password protected. Use Strong Password.
Keep It With Yourself
Do not put your device away from you. Do not put it on a table or a bench, even a meter away. Keep it in your sight. If you must have to put it away from you, make sure your device is the hardest thing to be snatched away from you.
Downplay
Advertising your laptop, mobile or PDA in a public place is not going to bring any good to you. Such boast can end up with a device lost though. It is better to downplay your device in a public place.
Keep Your Eyes Open
You must be aware of your surroundings if you are using your device in a public place. Make a "Self Protecting Shield" around yourself. While typing a password, be-aware of "shoulder surfers".
Backup
In any case, keep a backup of your stored information and files.