I am from there, so I have a few suggestions:
- do not wear jewelry, except for maybe a wedding ring if it's not too flashy.
- if you have a nice/expensive watch, buy a Swatch or something obviously inexpensive to wear there.
- do not use your cell phone while walking on the street.
- never, ever use a street ATM.
- carry one credit card only. Visa or Mastercard (Amex is not as widely accepted)
- always have some cash... if you get robbed, just give them the money and they'll probably take it and leave (as in.. you won't get hurt).
- have the emergency number of your credit card stored somewhere other than your wallet.
- carry a copy of your passport and leave the original in a safe place. You may need to show an ID when using a credit card.
- don't open your wallet in a way other people can easily see your cash. And never open your wallet on the street.
- try not to call the attention by looking like a typical "gringo" (foreigner) or like a tourist (map and camera).

@annagie: I really don't know where the "red light area" is. I mean, a long time ago, it was somewhere downtown, but nowadays I am not sure.