I have a diaper bag that hangs across the back of the stroller. I leave everything that I would usually have in a diaper bag in that bag on the stroller - so nothing like wallets/cameras/phones, jut kid stuff. But I did take a lot of kid stuff lol. Honestly the most expensive thing was the Diaper Bag itself. The problem is a thief doesn't know that - they might think the mother load of stuff is in there! What I do is buy the locking stroller hooks, and lock the strap of the diaper bag to the stroller itself. This doesn't stop someone from going through the bag and taking stuff out of it, but it does stop someone from just grabbing the bag and running with it. I kind of figure 99% of theft of a bag is impulse since it's easy to grab, so if it's locked and someone can't just causally grab it on the way by they won't. I also do this with things like purchases. I hang the disney plastic store bags from a locking stroller hook. Yes, someone could still steal our new Disney stuff, but it wouldn't be nearly as easy so I'm hoping that stops pretty much everyone from that impulse theft! I wouldn't leave really expensive purchases that way, but I do for the general things we buy and don't have sent to the room (when you could do that). When we first had strollers I bought one of those buggy locks to lock wheels together, and never used it! It just seemed like too much bother to do at each stop, we were always rushing somewhere in a hurry, it was hot, etc so I gave up on that. We've had multiple trips a year using strollers since 2009, and haven't had anything taken - including the time I accidentally left my phone in the cupholder. I was sweating until we got back to the stroller once I realized I had done that. I was lucky that time.
As an aside -
@Haley R (I don't know if that worked to tag you!) didn't you used to post a lot about Galaxy's edge and maybe the AP previews? I think I remember your name, and I think I actually saw you there based on your profile picture back then. Did you go to the very first one at the 8 AM time slot? Now you have a baby, how things have changed, haha! I'll bet your touring is different now. I haven't been on the boards much in a year, but I think I remember your user name, back then we used to be on a lot of the same threads IIRC.