Ever since the story broke a few years ago about an Air France flight attendant who was caught pilfering through sleeping passengers' belongings, I put a lock on my bag if I'm putting it in the overhead, especially if I'm planning to sleep. They're hardly foolproof, but it seems like it'd be enough of a deterrent to make a potential thief move on to another target.

OP: Welcome to FlyerTalk!

Sorry to hear about your experience. In addition to the other things that have been mentioned, note that if you have renters' or homeowners' insurance, your loss may be covered; also, some credit card travel protection benefits cover items that are lost or stolen on board.