Hi,
I use both a SIM pin and a pin lock, but with long time-outs so I'm not entering the password too often.
The unit is always with me, but being paranoid about scratching the screen/it dropping out of my pocket, I use the carry case and clip it to my belt. Not so easy to hide it now it's getting warm.
If your phone is confirmed lost, report it to the police and your phone operator immediately. After that point, you're (usually) not liable for any calls made, but you might still be liable for any usage preceding that point.
A pin lock saved my last phone after a car crash. The people who found it tried to use it but no luck as the pin prevented it. They ended up returning the handset!! I'll never know if they were being honest or not.
Best regards,
TyTN-II.