For most phones, you'll find a password option in Settings -> Security, but you should consult your manual (or just go exploring) to know exactly where to look.
The easiest way to secure your smartphone is with a password, making it the best place to start. Most cellphones come with password protection, but we can't look at the process for every single phone every made. Instead we're going to concentrate on the more popular mobile operating systems and how they're password (or password-like) security works.
It's very easy to set a passcode on iOS, but it's no more secure than a PIN number. You only get four digits, but it's better than nothing. To set your iOS passcode, open the Settings app. From there, choose General and then choose Passcode Lock. Turn it on and enter your four digit passcode. If you don't already have a four digit passcode in mind, try to come up with something random. Using your birthday, your anniversary, or the numeric equivalents of the letters in your name are all things someone could easily guess. A four digit passcode isn't the most secure option to begin with, so you don't want to make it worse.
Android's additional security comes in the form of a swipe pattern (unless you're running Android 2.2 Froyo, in which case you can also set a PIN or password). To set one, go into your Android's settings, choose Security, and then Change Unlock Pattern. Check Require Pattern and you'll be able to enter a swipe pattern. Making a swipe pattern is basically like connecting the dots. Don't create an obvious shape. That's about as useful as choosing "password" for your password. Coming up with something easy won't do much to help, so figure out a complex swipe pattern you can remember. Once you've got it, you'll be able to enter that pattern on your home screen to unlock your Android smartphone. Alternatively, if you're running Android 2.2, you can opt for a standard PIN or password if you're doubting the security of your swipe pattern.
Windows Phone 7
In Windows Phone 7 you're able to set a lock screen password. To do this, flick left to go to your application list and press Settings. From there, press Lock & Wallpaper. Assuming this is your first time entering a password, turn on the Password option. When you do, you'll be prompted to enter a new password twice. Do this and press Done to save your changes. If you need help coming up with a good password that you'll actually be able to remember, check out this neat video guide.
Enable Remote Wipe
If you've added a passcode/password/pattern/p-whatever to your smartphone and you're still paranoid, it may be time to explore remote wipe. Remote wipe does what the name implies: it remotely wipes the data on your phone and restores it to the factory settings. This is not something you want to do every day, but should be prepared to initiate should your phone fall into the wrong hands.
Setting up remote wipe on an iOS device is easy, but only if you have all the right ingredients. You need a paid MobileMe account that's currently active on your iOS device. You also need to enable push and Find My iPhone. Where do you find these settings? First, open the Settings app, then choose "Mail, Contacts, Calendars" from your options. On the next screen you'll see an option called "Fetch New Data." Tap that and you'll have a switch that'll let you enable Push. When you're done, go back back to the "Mail, Contacts, Calendars" screen and choose your MobileMe account. (If you don't already have one, follow these instructions.) On the next screen you'll see an option to enable Find My iPhone. Do that and you'll be all set.
Once Find My iPhone is enabled, you'll be able to log into MobileMe and wipe your iPhone. You can do this by clicking the Account button up top and then the Find My iPhone option once the page loads. Once you choose to wipe your phone, newer models should get the message and successfully erase themselves in a few minutes. Older models, however, seem to take much longer in some cases. If you have an iPhone 3G or original, be prepared to wait as much as two hours.
Remote wipe is a built-in possibility on an Android device, but it requires Android 2.2. Additionally, you need to have Exchange set up. In the event Exchange is set up, a remote wipe can only be performed by an administrator. While that could be you, chances are it's not, so we're going to skip this method. Instead, you're better off adding remote wipe via the Mobile Defense app. It's free in the Android Marketplace and you can wipe your Android phone from the Mobile Defense web site, much like with MobileMe and Find My iPhone. Currently, Mobile Defense is in private beta so you should visit the download page and sign up for the wait list.
Windows Phone 7
Windows Phone 7 can easily be wiped using Outlook Web Access. Check out the video above for a step-by-step walk-through of the process.
What Else Can You Do?
That's the majority of what you can do to secure your smartphone, but general online security tips are always relevant. Just make sure you have a strong password, you don't save any sensitive data to your smartphone, and you stay away from California police and you should be all set.