Become familiar on how to lock your bike up properly.  This can be done by wrapping the chain through the frame, both wheels and a post or other solid object, and then attaching the lock.

Find the serial number on your bike.  It will be found either directly above the front fork, on the left side of the rear fork just above the axle, or on the underside of the pedal crank housing.  Check to see if your community's police department registers bicycles.  If they don't, keep a record of your bicycle's serial number so it can be identified if it is recovered after being stolen.