Last summer I lost my Windows Mobile hw6515 somewhere in the Airport. . Once I arrived home , called the mobile to try to get it back. A person on the other side of the line just said "thanks for the phone, it's very nice" . Of course I blocked immediately the SimCard but the thief must now be enjoying my phone with another simcard.
Now that I have a brand new O2 I don't want the same to happen again. I found this little application on the internet that send you an sms if somebody inserts a different simcard in the phone. With that information you immediately have the phone number of the person that stole your mobile. It has some other features like turning on the ring tone remotely via SMS (e.g mobile is in silent mode and you can't find it).
If you're looking for an applicaton to protect your investment it's worth checking it out.
PhoneFinder - PhoneFinder Home Page