Switching to another program almost always involves significant penalties. Even in partner arrangements, you typically can't call Airline A and say "I'd like my miles to be moved over to an Airline B" account.

I think there are companies that will effectively write an insurance policy on FF miles. I saw something about this when US went bankrupt earlier this year. I don't know anything about the companies or whether they are a good deal.

The way I've been "protecting" my miles: I've been redeeming UA and US miles for awards whenever I can, and only accumulating in American Airlines and, to a lesser extent, Delta. (I'm taking a gamble on the relative financial strength of AMR as opposed to UAL or U; I realize this is still a risk.) For me, this has meant taking a couple of international business-class vacations, which is what I always wanted from the miles to begin with.