A good program that I have been using, in case you lost your PDA phone this handy program can identify the any new SIM the thief has inserted an make an hidden SMS to you, which will be crucial to identify the thief. This program also allow you to monitor the activity of the thief and even provide GPS location of the thief (provided you have GPS enabled PDA phone)

Source: http://www.pocketpc-live.com/pocketpc-softwares/ultimate-theft-alert-v3-for-pocket-pcs.html