As in, take a cloth bag, tie it over your shoulder using a shoelace, and stuff the bag containing your ID and credit cards below your waist. The only way to be safe from pickpocets, since they're quite unlikely to grab you there. Especially if you're a bloke.
And trust me, when you're on a night trip on a coach, and you've got the dodgier part of Eastern Europe sitting around you (and next to you), you really, really want your ID and credit card to be safe when you fall asleep.
As for Rome, you're a lot more likely to get your pockets picked there than in London. Really, most pickpockets I've ever seen. When taking the subway there, make sure to keep a hand on your money, always. For the rest, I can recommend going to Piazza Navona at night, lots of merchants selling portraits and the like, and people just trying to rip you off, and not stealing anything. Good fun, but no large amounts of alcohol if that's you're thing. If you've got the time and like Roman/historical stuff, head for Pompei. It really is worth it if you know a bit about Roman life.
Oh, the waiters are unfriendly and generally refuse to speak English. They'll understand if you order something though, but not if you have to argue about a 10 euro cover charge appearing on the bill, or double the amount of drinks. Learn a few lines of Italian, and it'll help a bit.
