I'm going to Rome come September, and to be honest, I'm not that worried.
I mean, if you look up things online about the Gare Du Nord in Paris, you'd think you'll be robbed in no time. Quite the opposite was true in my case, then again, I speak fairly fluent French with a slight Parisian accent, so I guess I blended in somewhat.
Something else I've noticed from personal experience is that if your phone isn't an iPhone (or possibly an SGS3), it's much less likely to get nicked. A friend of mine has had 2 iPhones nicked so far, I've had none nicked and my current phone is an HTC One X, so it's not like mine is cheap either.
The reasoning behind this is that the thiefs usually have no clue about the value of most smartphones (except for the ones everybody knows, like the iPhone).