I found this advice the other day on the internet:
You are able to stop thieves from using your mobile phone. Your phone has a unique identification number, called IMEI. You can find your phone�s IMEI by pressing *#06# on your mobile phone. Write down the number you see on your phone�s screen, and keep it in a safe place. If your phone is stolen, report your SIM number (i.e. your phone number) together with the IMEI to your mobile phone company. The company will immediately cancel the SIM card, and the thieves will not be able to call from your mobile phone and increase your bill.