If you’re in the streets, be on the lookout for pickpockets, particularly near human statues and similar made-for-tourists nonsense.
In cafes, don’t take your eye off your belongings. Have a look at the people sitting next to you as thieves will often sit down, have a coffee and then wait for the right moment to lift your bag.
In the metro, watch for large groups of people who “by chance” all happen to chose to get on the same wagon, by the same door. In the ensuing squeeze, a stray hand is likely to lift your wallet.
Don't leave anything for a second! And don't think there's safety in numbers. On the beach it's normally easier to steal a bag or mobile from a group of twelve than from a single person.
When coming home drunk from a bar or restaurant, the guy who playfully places one hand over your shoulder has the other one in your back pocket.