If you do have a prop, label it. Especially if it's a prop from a popular cosplay. I know I put Spider-Man stickers on the inside of anything and everything that they will stick to when I go to a LAN, and that's nearly the same thing. Minus costumes. And walking. Or moving.
I hate to say it, but never trust anyone. There are tons of great people that go to Cons, but never hand your bag to a stranger and then turn your back. They can easily walk away with your stuff.