Take a little combination lock for those hostel lockers. You can usually rent one, but having one along saves a little and you will be familiar with it.
Somebody said to "look poor". Definitely a good idea. No gold jewelry, better watches, even expensive clothes.
The big clumpy white tennis shoes are usually the first indication of an American tourist, so if you can wear something else that is good.
Watch for short-changing too. If you can, pay in exact change. If not, have the math done in your head and count what you get before you leave the counter. Generally, people in the stores are really good about it, but I've been nicked a couple times. And in both cases it was right after I got off the plane and was still totally jet-lagged. One trick is to slooowwly give back all the smaller stuff and then a big pause before returning the last and largest bill. It is not unusual for people to think they have everything and just walk away, missing that last large one.
Standing on a street corner reading a map isn't a great idea. If you can, try to memorize your route in your hotel room, or stop and find someplace a little less conspicuous.
The less you take in the first place, the better off you will be.
Build into the budget a minor loss or two (hat, jacket, gloves, etc. left behind) and then you will not feel so bad about it.
Take all the precautions you can, and then just have a grand time.
Romelle
For the record, the only time I've even been pick-pocketed is right here in the US.