I've been fotunate, I suppose, in that I've not "lost" anything substantial in about 20 years now. The last item taken, believe it or not, was a brand new tie in Atlanta at the Hilton!
All I try to consistently do is to check to see that the door is entirely closed and locked behind me and always place valuables, including the laptop in a drawer.
And I do always stay on a high floor. Some time ago I read that most hotel crime occurs on the first and second floor.
Mark