Yesterday a thief stole all the cash from my purse on a TGV train from Paris to Zurich. My bag was right by my feet and someone dragged it under my seat (behind me) between Strasbourg and Basel and emptied the cash from my purse. He only took my cash but I still lost EUR70 and CHF100. I know you're supposed to keep your purse with you at all times and I am usually paranoid about hanging onto my bag but I'm 7 months pregnant and needed a bit more space than normal. During the long train ride from Paris I foolishly thought that leaving my handbag by my feet would be safe. I didn't feel the bag move, just found it right under my seat at Zurich and my purse empty of cash.
I guess you have to keep all valuables on your lap, even on a 5 hr train journey.
Sorry if this is irritatingly obvious advice.