We do the same on CC, but take precautions at other beaches. It helps to hook up at the beaches with others in our group. There is usually someone who wants to just lounge and relax, and will keep an eye on everyone's stuff.
Woody
I think it's much safer on Castaway Cay, but when we cruised the Wonder in 2005, 2 people we knew had things stolen while at the beach in Nassau. I agree it's probably good to hook up with someone who is content to relax and keep an eye on stuff.