Yes pick pocketing is a problem in certain areas. In Italy for instance, try to be careful to not look like a tourist. I know this is hard but avoid going around with maps and cameras and try not to get distracted by the beauty of the touristic attractions.
Pick pocketers like crowded areas where they can quickly snatch your wallet without you noticing much and they can easily mix in the crowd. As well, stay away from isolated areas. Just simply stay alert: pick pocketers look for people that look distracted.
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