Oh no! It happened!
If, after all of your preparation, something is stolen, damaged, or lost, stay calm. Take an inventory of all the data you have potentially exposed. If credit card or bank details have been compromised, you should contact your bank immediately. If you can remotely wipe any of your missing devices, then hop online and press the red button — so to speak.
Once you've ensured that no financial or personal information can be accessed, contact the police immediately. You may assume that there's no chance of retrieving your belongings, but that's not always the case. Be sure to note exactly where you were, what was taken, and a description of anyone who you suspect was involved.
Even if you're unlikely to get anything back, making a police report is almost certainly going to be a requirement for insurance claims.
Last but not least, so long as you're sure that no one can access your data, steal your bank details, or cause you any further harm, it's better to accept your loss and move on. We get far too few holidays to ruin them over an iPod.