I carry the largest bag in my bag that cannot be fully closed and secured. I stash my wallet and other valuables in it, zip it up, and clip the keychain to the pocket. That doesn't rule out theft, but it certainly deters anyone who might reach into my pocket while I'm distracted. I use the smallest makeup bag - it's the perfect size. Sure, it's a bit harder to get my wallet/values, but the increased security is worth it.
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