I have looked at Sprite Terminator for $14.95 I haven't got it yet, but the ability to sms my phone and lock it up sounds like the way to go. Here is the link and features...
Key features list from their website:
- Locate your phone using GPS - See exactly where your phone is and track it on via Google Maps, or Virtual Earth.
- Set and Forget – Once configured, Sprite Terminator is unobtrusive and can only be uninstalled with the correct password
- Remote Delete – Send an SMS message to initiate the wipe operation including all external storage cards
- Remote Lock-Down – Send an SMS message to lock all functionality or re-set the device master password
- SIM Change Alert – Receive a notification SMS message if the SIM card has been changed
- Activity Retrieval – Send an SMS message to retrieve call log entries
- Supports all Windows Mobile 5 & 6 Phones
http://www.spritesoftware.com/