+1,000 - people are nice, as long as there aren't too many of them in one place.
To the OP, I also have never heard of it. Just don't be stupid. If you're in a big city, don't leave the bike & bags alone for a long time somewhere it would be easy to rummage through. You can often find a friendly person/business who will let you stash your bike inside - the visitor info center is a good place to check. I keep an eye on it if i can, but don't let worrying about it stop me from being a tourist. I keep my bags inside my tent with me when I'm camping.
Just have a "purse" - I use my handlebar bag - that contains the really important stuff - wallet, passport, plane tix, camera, ipod, prescription meds - and never NEVER let it leave your side.