One of the most common method iPhone users thought that prevent stolen phone is setting the passcode method at the lock screen. But in fact, this annoys the thief, since they can’t access to your phone, and they end up directly flash your iPhone with latest firmware.
A better approach is go to Settings > General > Restrictions. Turn on the restrictions and enter the 4 digits passcode. Then switch off for both Location and Accounts.
So this at least carry on letting the thief to use your iPhone even with his own sim card, but all the geolocation tracking and Find My iPhone information are remain open for you to track your stolen iPhone down.