If you go by train and buy a sleeper compartment (highly recommended), make sure you get the compartment with two couchettes, not four. The railroad will try to sell any couchettes you do not buy, and buying both couchettes in the 2 compartment is cheaper than buying all 4 in the other configuration.

Keep all valuables in your case underneath the couchette lid: it opens on piano hinges. Even if thieves pick the compartment door while you are asleep, your body weight secures whatever is inside the couchette.