Remember that you're not the only person who has access to your hotel room. Nearly every member of the hotel staff is able to enter your room without your knowledge. So, when you leave the room for any significant amount of time, don't leave anything valuable behind. Some hotel rooms come equipped with small safes, but not all of them are insured against theft. If you do need to travel with valuables, ask the hotel management to place the items in the hotel safe, and to provide you with a receipt. The main hotel safe will be insured, and it's accessible to a much smaller number of staff members.