Smartphone theft is something which no one can really completely prevent, it is possible to prepare for it the best you can though. Companies like Google are doing their part to help make this process a little simpler for users by developing security features such as Device Protection on select Nexus devices on Android 5.1, with the possibility of enabling it on non-Nexus phones at some point. At current, that leaves users with devices from different OEMs without the same level of protection, unless you're a Sony Xperia device owner. Sony has implemented their own version of Device Protection within Android 5.0.2 called My Xperia Theft Protection.
The only unfortunate thing about MXTP at the moment is that it's only supported on three of Sony's devices which are running Lollipop. The Xperia M4 Aqua, the Xperia C4, and the Xperia Z4 Tablet. These aren't the only Xperia devices which have lollipop however, as every version of the Xperia Z3 has now been updated to Android 5.0.2, which hopefully means Sony will open up compatibility to the Xperia Z3 as well as older models like the Xperia Z2 sometime soon. My Xperia Theft Protection is pretty easy to find and enable as it's located in the exact same sub-menu of the security settings on your phone. Simply navigate to Settings, then to Security, and finally tap on Protection by My Xperia.
As long as this is enabled on a device which supports MXTP, MXTP will be enabled as well. With MXTP turned on the device's data and information can not be accessed unless someone knows the Google login information. This includes situations where thieves may try to wipe your device to bypass any security measures due to MXTP being engrained into the bootloader itself. Once enabled, if the device detects unusual patterns then it enters a lockdown mode, which can only be exited by signing in with the designated Google account. Once Lockdown mode is in effect, all applications on the device stop working, outgoing calls are blocked and incoming are sent to voicemail if it happens to be set up. The USB port also disables computer detection of the device, and the notification panel maximization is disabled. In short, if you have an Xperia device which supports this feature, you should probably enable it. If you have an Xperia device which isn't yet supported, sit tight as hopefully Sony will enable more device support soon.