Record the serial number of every device you have---especially your cell phone. Your phone constantly transmits its serial number to the provider's network, enabling you to trace the phone in cases of theft.
Contact your cell phone provider and report the theft of your phone. Provide your serial number, which should allow your provider to trace the phone. At the very least, ask to have the phone deactivated, which will prevent it from making any calls at your expense.
Contact the police or other law enforcement and provide the serial number. These agencies also have access to tools that can help track down your phone as well.
Provide a description of your phone and its serial number to pawn shops in the area where the theft occurred. If the thief tries to sell your phone, the pawnbroker will have recorded the serial number and have a record of who stole it as well.
Give the police and phone company every detail you can about where and when the phone was stolen. Purchase insurance on your phone. You'll file a claim and pay a deductible for a lost or stolen phone, allowing you to get a replacement phone and avoid paying the full price for a new one.
Do not confront the thief yourself; get law enforcement involved. Do not try to obtain any illegal equipment to trace the phone for yourself.