Get a nice messenger bag, and get a GPS tag sewn into it. The more expensive the bag, the better.
There are a couple GPS tags out there that are small enough (like the size of a half dollar piece) that can be easily concealed in a medium-sized bag. Here is one of them:
http://www.nytimes.com/2009/01/29/technology/personaltech/29pocket.html?_r=2&em
There will be many coming out in the next year or two that will be much, much smaller. Now, with one of those sewn into your bag, you can now easily track that bag via GPS on your PDA, Laptop, etc. They are designed for tracking the likes of a young child or senior citizen at risk, so they are accurate.
The reason I say the more expensive the bag the better, is because if someone steals a Gucci or Louis Vuitton bag from you, don't you think they will want to hang onto it and show it off? It is something that a thief wouldn't just discard, which means you will have a longer period of time to look at the GPS online and show it to the nearest police officer. This works extremely well if you have a web capable PDA. Alternatively, you can always just go to nearest police station and give them the GPS tracking number and go from there, but it will cost you some time.
Also, using casino chips would be a good idea as well. From what I have heard, the professionals in Vegas use chips way more than they use cash.
If you do all of this, you will in reality be a step ahead of the thief and therefore have a much better chance at recovering your lost items or the local authorities catching the culprit.