React fast and without panicking. Dwelling on the fact that you are the victim of a pickpocket will only give the pickpocket more time to get away with her crime.
Cancel all the credit cards that were in your wallet or purse immediately. If this is not done, the pickpocket could make several purchases with your credit card, trying to max it out before the credit card gets canceled, a process that takes most pickpockets as little as 20 minutes after the incident. Keep the 1-800 number of all personal credit cards in a safe area (not your wallet) and call them immediately after being robbed.
Contact the police, either by calling 9-1-1 or by going to the nearest police station. A police officer will ask a number of questions regarding the crime, such as who the victim was, what was stolen, when it happened, where and how. They will file a police report and provide you with a case number, which should be kept accessible.
Fill out an identity theft affidavit using the case number the police officer provided. This affidavit effectively protects you from being the victim of any purchases or new accounts the pickpocket opens up in your name. It should also be kept on hand for a long time, especially if your social security number was stolen, as identity thieves will probably try to use it for years to come.
Contact credit score companies Equifax, Experian and TransUnion to put a red flag on your account using the identity theft affidavit (see Resources below). These companies are the ones that keep track of and report your credit score, and any potential identity theft should be reported to them. They will react by marking your account and contacting you for your express permission whenever someone tries open a new account in your name.
