I must say, this thought has been on my mind a lot lately, even before the recent theft in WV.
I document everything with photos, e-mails (paypal receipts, delivery confirmations) electronic and paper receipts, and other stuff. Most important, I keep this stuff somewhere not near the trains in a fire proof box.
Insurance is nice, but like others, I have stuff I'd never be able to replace.
The biggest advantage in avoiding theft is to not advertise to anyone you even have trains, especially location and what's in the collection. No one knows about my hobby amoungst my neighbors or friends. I'm not paranoid, just works best this way. I like the stuff I have and plan on keeping it.
Another thing-online security or lack there of is not in your favor. Thiefs have advanced. You're wife posting on Facebook that you're on vacation in Mexico just told the whole world you aren't at home. Get the point?
Posting personal information online-location and stuff can be used to find you. I shake my head each time I see people doing this.
Don't be a victim. Last summer, I did a Craig's List deal. Met the buyer in a parking lot because I didn't want him to know where I lived. Unknown to me, his buddy followed me home (found out later from the police). He showed up at my house at 0200 in the morning. Woke up to my dog growling. Let's just say they never came back-an encounter with a 2X4 out of nowhere in a dark garage will have that effect.
Security system, dogs, and guns are about the best you can do to prevent the unthinkable. Sometimes, you have to defend yourself/property. Hope that never happens to any of you here.
Be careful out there.