Also don't show up with a Camera around your neck

I never had any problems in Vegas with pick pockets or suck. I mostly like to stay on the strip, because thats where all the action is.
If I do happen to win big at a casino that lets say I walked to get to. I will have a cab take me back and put the cash in the safe. I also had security escort me to my cab, or car. They will be very happy to do so.
don't go by yourself. Loners are easy marks.
And skele gave you god advice, but you don't have to carry your passport with you. You can either leave it with the Casino security and ask them to put in the their vault, or just leave in your safe. You will only need your passport if you win Big $$$ and you can always go back to get it. Just have 1 credit card, ID, and some cash. I usually only carry my 1 day session money with me.
Good luck and always have fun