Running around like a bunch of wannabe guitar gumshoes is fantastic, but wouldn't it be better to just avoid losing any gear all together? Fortunately, it's pretty easy to keep things safe or at the very least traceable. It goes without saying that the musician's I spoke to wish they had taken a few of these steps before losing their guitars and effects.
First of all, get yourself some insurance. Most homeowners policies won't cover musical instruments if they're used in a professional capacity, so look for a company like Clarion or MusicPro who cater to musicians. In fact, if you go with MusicPro, you can get yourself into some health and dental while you're at it.
In the process of getting insurance, you're going to need to put together an inventory of everything you've got. This should include serial numbers, photographs and identifying marks. And if you're an A+ students, you'll have your receipts as well.
Now that everything is covered and accounted for, all you have to worry about is keeping a low profile. Don't leave your set-up visible from the windows if you live in fourth ward, don't invite strangers over for a showoff jam, or if you learned the hard way like Koree Smith, let your in-laws babysit Les Paul while you're on vacation.
Never leave anything in the car, visible or not, you're just tempting fate. If I had to take my band's gear home after a show, I would back my SUV up against the fence to limit access, but I was a wreck all night. A tired unloading session is always better than being an empty handed band.
And when you're loading/unloading at shows, always make sure you have a lookout both inside and outside the venue. And if you're on the road, you need to sleep where your gear sleeps, be it in the van, hotel room or someone's living room.
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Also, you should never share a practice space with someone you flat out don't trust. If that can't be avoided, you're going to be hauling your equipment home with you after each rehearsal. I did it for almost six months when I was in a space with a lot of random visitors.
Even if you cover your ass from every angle, something could still happen. Fortunately, by having photos, serial numbers, list of identifying markers and giving your gear secret indicators of theft you can make recovery a little easier.
Open up your casings and write your name, contact info and the last four digits of your social security number inside. Or you can write it all in plain view with a UV marker, which would make for a thrilling reveal. If you don't want to leave a mark, you can do something like tape a business card under the pickguard.
As a musician, there's really is little worse than losing the very source of your livelihood and satisfaction. Fortunately, with a little planning and a little work, you can minimize the likelihood that you'll find yourself strangling some pencilneck on stage when you see your missing bass rig, only to find out that he bought it at a pawn shop, not knowing it was hot. The cops still won't care that it was stolen when they're booking you for assault.