Turn on Passcode Lock. This will prevent someone from looking through the data on your device.
Turn on Find My iPhone. This will allows the user to activate a recovery message, play a sound, lock the device, or erase data from iCloud.com. It will also let you locate your device, as long as its powered up and able to connect to WiFi/Cellular Service. This feature also prevents the device from being erased or from being unlocked unless the correct username and password for the iCloud account is typed in.