If you arrive in a bus or cab, stay with your luggage until it is brought into the hotel lobby.
Keep a close eye on your luggage, purse, etc when checking in.
If the lobby is busy, thieves will often take advantage of the distractions to take your things with them.
If you are staying in an older room which still has the older guest door locks with metal key, one of first signs of how a hotel treats the issue of security is to observe how hotel room keys are controlled. If it is checkout time and a pile of metal room keys are laying on the front desk, the hotel is not too concerned about your security. Anyone can take and key laying on the desk. This is not a big concern if the hotel is using electronic key cards but is if the metal keys have the room number embossed on it. You will find this more prevalent overseas.