The information stored inside your devices is valuable. Contacts, emails, browser history, cached logins to Facebook, storefronts, banking sites: all of these can be accessed and compromised in a pinch by someone who has access to your phone, tablet, or laptop, if you don't bother to lock it. Do not give potential thieves or other malicious actors that opportunity. Make them work for it. Lock your screens.
When you step away from your laptop for any reason, lock the screen. If you close the lid on your laptop, most should lock the screen automatically, unless you have disabled it for some reason.
If your laptop's lid is always open, or you are connected to an external monitor, manually lock your screen when you step away from your desk. All major operating systems have keyboard shortcuts that can easily do this.
Windows - Windows Key + L
Mac - Control + Shift + Eject for Macs with External Keyboards, Control + Shift + Power for Macbooks. If your Mac does not have a lockscreen enabled, look here for instructions on enabling it.
Linux - Super + L or Ctrl + Shift + L, depending on your desktop environment
ChromeOS - Ctrl + Shift + L
Practice locking your screen until it becomes a habit. No one should be able to examine or modify your computer except you.
All operating systems that have a screenlock also have an option to automatically engage the screenlock if the device is left idle for a certain amount of time.
Lock Your Tablets
While the vast majority of tablets are used for entertainment purposes, the number of people who do shopping on their mobile devices has skyrocketed. If you buy books, music, or even apps through your tablet, your tablet has access to a credit card. Don't leave this device unattended. Ensure that your tablet has a lock screen, and turn it on.
iPad - Assuming your lockscreen is turned on (see here for instructions on enabling it), the lockscreen should engage automatically whenever the screen turns off. Manually pressing the power button should turn off the screen and immediately engage the screen lock.
Android - Settings -> Security -> Power Button Instantly Locks. This will ensure that the screen is locked as soon as you hit the power button to turn the screen off.
For the Love of God, Lock Your Phones
The smartphone is an incredibly vulnerable device because we do so much on it and we have it with us all the time. That makes it a target. A computer or a tablet that rarely leaves your house (or is useless without a wifi connection) can be considered relatively safe from being randomly stolen. Not so with a phone, that might literally be swiped out of your hand as you walk down the street. It is bad enough if a thief should steal your phone: do not let him also steal your credit cards, Facebook login, or bank information that might be accessible on your phone. Lock your screens.
iPhone - The lockscreen should be enabled by default, but you should take the extra step to protect your lockscreen with a passcode.
If your phone supports it, opt for the six-digit passcode instead of the four-digit one: it is not only two orders of magnitude harder to guess, but also discourages you from using an easy-to-guess passcode like your birth year or the last four digits of your social security number.
Android - Settings -> Security -> Screen Lock.
Within this menu you can choose from the possible options: Pattern, PIN, or Password. With Pattern, you will be presented with a grid and asked to draw a shape of your choosing (like, say, a square). With PIN, you will create a numeric PIN from 4-17 digits in length. Finally, if you choose Password, you will create an alphanumeric (i.e. letters and numbers) password. Of those options, Pattern is the least secure, but quickest to do, while the Password option is the most secure, but takes the longest to enter every time. Should you opt to use a PIN, try to use something longer than four digits, and if possible, make it a nonstandard length. Since the length of the PIN is not communicated at all to the end-user, it will be less obvious to someone trying to break into your phone to try seven digits instead of six, etc (Although I hesitate to recommend a nine-digit PIN, if only because you may be tempted to use your Social Security Number, which could be easily guessed).
Android devices running version 5.0 (Lollipop) or above have a feature called Smart Lock, which allows the device to disable the screen lock when it is in a Trusted Location (i.e. your house) or connected via Bluetooth to a Trusted Device (e.g. your car). This can make the screen lock less cumbersome to deal with.
Choosing a Good Password
When choosing a password for your lockscreen, whether the password is a numeric PIN or an alphanumeric passcode, there are some DO's and DONT's to follow:
Choose something random. Most people have a random ATM PIN--you can handle memorizing a few digits for a random passcode, too, if need be.
Failing that, choose something you can remember. It does not need to be terribly long just to protect a lockscreen. Both Android and iOS support the feature to have the phone's data automatically wiped after too many failed attempts. That should be sufficient to dissuade thieves from trying to brute-force your password. Find or create something that is memorable to you that can be easily regurgitated: a number embedded in a stupid jingle from your childhood; the production code of your favorite Simpsons episode; the number of times you died your first playthrough of Dark Souls; etc.
If you are using a PIN, choose more than the bare minimum. Instead of four digits in length, go for six, or seven. A longer password provides more entropy .
Use an alphanumeric password on your laptop. Your laptop will have a physical keyboard--there's no reason that you can't come up with something with letters and numbers.
Use a password or PIN that is derived from personal information. This means that a piece of your birth-date , SSN, or mother's maiden name should not be part of your passcode. Your birth-date, your phone number, and your SSN are public knowledge: anyone who cares to pay the nominal fee to look you up can find out your date of birth or your SSN. Your mother's maiden name, as well, is publicly-accessible. Put another way, if you put your birthday or your SSN as the passcode, you are making the identification something you are. It should be something you know.
Use something incredibly long or difficult to enter. If all of your other settings are as recommended, your phone should automatically lock itself very quickly whenever the phone is not in use, meaning you will need to unlock it multiple times a day. If the password is long or frustrating to enter, you will be tempted to turn it off altogether instead of dealing with the inconvenience. While a longer passcode is obviously better, a little security is better than no security.
Use the same passcode across all of your devices. Your laptop should NOT have the same passcode as your phone or your tablet. If one gets compromised, they are now all compromised.