I keep a note saying "These are custom-fitted for my ears and will fit nobody else. They have no value to anyone but me. If you bring these back to me, I will pay you a reward of $100 with no questions asked" in the box I keep my CIEMs in along with my phone number. I'm not sure whether it will work, but after I heard about another guy doing it I figured I might as well put the note in there.
I'd much rather pay $100 to some scumbag than be without my CIEMs. I remember one guy who posted on the forums that his bag containing CIEMs and expensive perscription glasses was stolen. That's just bloody annoying considering how the thief won't even get anything out of the theft.