The Instructable is quick and easy to do, requires no extra apps, and could save you a lot of money and heartache.
Step 1: A Quick Note
First, use your iPod's Notes function to type in your contact details.
It is not a good idea to use your real name and address, so instead use a simple email address or a phone number you don't mind being shared amongst strangers. Type it a few lines down the screen, so that it ends up clearly visible on the "Lock" screen.
If my sons take their iPods on school trips, they use the school's contact details.
Take a screen-shot of the note by holding in the power button and pressing the home button.
Step 2: Use the Photo
Find the screenshot of your note in the "camera roll", and bring it to full-screen.
Tap the screen to bring up the menu options, then hit the "share" button (bottom left). From that menu, select "use as wallpaper", and then select the "Lock Screen" option.
Your note will now appear on your iPod's screen when it is switched on.
Step 3: Setting the Lock
From your home screen, select Settings, General, Passcode Lock, and then Turn Passcode On.
You will then need to type in a four-digit code. Like any secure "PIN" system, you need to make the number reasonably memorable, but not insanely obvious. Do not use "1234", "9999", "0000", "1098" etc. Instead, maybe use the last four digits of your mobile number, the day and month of a birthday, the year you got married etc.
Confirm the code, make sure it is set to be required "immediately", and you are sorted.
Step 4: Well, Obviously...
In fact, I'm sure you know somebody who does that.
If you do, why not email them a link to this Instructable as a subtle hint to make themselves a little bit safer?