Cancel your credit cards immediately, but the key is having the toll free numbers and your card numbers handy so you know who to call
Keep those where you can find them easily (don't keep them in your wallet or purse)
Contact your bank if your checkbook or ATM card was also stolen along with your wallet or purse
File a police report immediately in the jurisdiction where it was stolen, this proves to credit providers you were diligent, and is a first step toward an investigation
If your credit cards are stolen, call the three national credit reporting organizations immediately to place a fraud alert on your name and social security number. The alert means any company that checks your credit knows your information was stolen and they have to contact you by phone to authorize new credit.
Equifax: 800 525-6285
Experian (formerly TRW): 800-301-7195
Trans Union: 1-800-680-7289
Social Security Administration fraud line: 1-800-269-0271.