Encryption: Best Thing ever
If your Mac gets stolen, you're going to be upset, that's a given. At best, you've lost a very expensive item; if you weren't diligent about your backups, you may have lost your data, too. But one thing you don't want to have to stress about is the thief being able to get in and rifle through your documents, right? Yeah, that would be bad. Because then it's not just a loss, it becomes a concern about identity theft. Even those words strike fear in my heart, and they should in yours too.
So to avoid that horrible stress, what you need to do ahead of time is just turn on Apple's full-disk encryption, which they've dubbed FileVault. As Apple notes in that linked support article, all you have to do is mosey on over to System Preferences, click "Security & Privacy," select the "FIleVault" tab, and then click the lock to give yourself permission to make changes. Assuming you're the administrator on your machine, you'll then type in your Mac password, after which you'll be allowed to click "Turn On FileVault."
At that point, you'll be asked whether you'd like to generate a recovery key or use your iCloud account to unlock your Mac should you forget your password. I strongly suggest you choose the iCloud option, with one important caveat: If you forget both your Mac password and your iCloud password, all of the data on your Mac will be lost. Which is, uh, something of a bummer.
Once you've got this set, though, the likelihood that an enterprising bad guy can see your files on a stolen computer just dropped to nil. So if you become a victim, you can at least be sure you won't be a victim of more awful things!