You have to weigh the risks in life and decide where to expend your energy. Sure, you could VPN back to your company first, but doesn't handing your credit card to a waiter at that same hotel represent a greater risk than traffic sniffing? If you're concerned about identity fraud, get protection for that - for example, Californians can contact credit agencies and freeze their credit.

Consider the risk of being attacked by a shark to the risk of driving to the beach while talking on your cell phone. Like the traffic sniffing, the shark attack is possible, and wearing chain mail while swimming in the ocean will certainly reduce your risk of shark attack. So some would say: "why take the chance, always wear chain mail." But you're really much safer ignoring the sharks and putting down the cell phone.