First, unless the campaign makes magic items objects unusually rare, nobody's actually going out of their way to steal magic items. Sure, if the magic item's an original magic item or an artifact, it'll be a target, but that's a story. In a typical campaign, most magic items can just be purchased with money in a big enough town by anyone who wants one. Rather than stealing from an adventurer—who is, to be clear, frequently a casual killer who holds a grudge forever—, it's usually easier and safer to steal money and use that money buy a magic item.
Second, money that's spent keeping an existing magic item safe—essentially, buying insurance—is money that could've been spent on more or better magic items. Normally, an adventurer buys and sells more and better magic items at a pretty good clip, but a paranoid adventurer who invests heavily in insurance is in stasis. Her magic items are safer, but her personal power remains largely unchanged while other adventurers see their power steadily increase by participating in the traditional adventurer economy.
In short, an adventurer's job is to defeat enemies then take their valuables. Money spent on more and better magic items facilitates defeating enemies; insurance doesn't facilitate defeating enemies. Unless the adventurer's shtick is getting captured, invoking her coverage to regain her equipment, then defeating her enemies from within—making James Bond very proud—, my experience has been that it's generally better to spend literally nothing or, at most, the absolute minimum on insurance.
Still, the DM may be running an atypical campaign that's stocked with lucky, foolhardy thieves. Or the DM enjoys making players lives miserable by stealing the PCs' stuff. Or the DM accidentally let fall into the PCs' hands a magic item that's too powerful for their levels and, rather than talking to the players and admitting the mistake, feels like he must deal with his mistake during play. (Also see this question.) Or the campaign or the players may have something else going on or whatever. With this mind, the remainder of this answer attempts offers the paranoid adventurer peace of mind.
For convenience, this answer's remainder assumes the adventurer wants to protect from theft and destruction, retrieve instantaneously, and modify so that they're less powerful in another's possession an amulet of the planes (Dungeon Master's Guide 247) (120,000 gp; 0 lbs.) and a staff of power (245) (211,000 gp; 4 lbs.). Both are otherwise normal magic items.
Deterring an object's theft
Here's how to make magic items less appetizing targets for thieves on the cheap.
- Stay vigilant. A ring of sustenance (DMG 233) (2,500 gp; 0 lbs.), in addition to other effects, means a typical creature needs only 2 hours of sleep. Instead of sleeping, a typical elf need only trance for 4 hours and, while doing so, remains aware of her surroundings. And a warforged just doesn't sleep. Thieves are slightly more reluctant to steal from professional killers that are also conscious and mobile.
- Make the magic item appear dangerous. In a typical setting the vast majority know nothing about magic. (The skill Knowledge (arcana) doesn't yield a lot of information when used untrained, and the skill Spellcraft typically can't be used untrained at all.) However, only barbarians and totemists are actually illiterate, so if a staff or amulet has an engraving that says Unauthorized possession of this item will kill the possessor, it may give thieves pause. Of course, if every adventurer engraves all her stuff with such notes and it's never true, this isn't a deterrent, but if this kind of thing is unfashionable or if every tenth time it is true then theft becomes less likely.
- Keep the magic item safe when not in use. A thief that wants a staff or amulet must somehow swipe the glove from the wearer's hand if, when the magic item's not in use, the wearer keeps the amulet or staff in a glove of the master strategist (Ghostwalk 71) (3,600 gp; 0 lbs.). (It's a better and less expensive glove of storing (DMG 257) (10,000 gp; 0 lbs.).) Similarly, the magic item is on another plane if it's kept in a Heward's handy haversack (259) (2,000 gp; 5 lbs.) et al. (Also see this question.) Containers are often easier to protect than the items themselves (e.g. with a glyph seal (Magic Item Compendium 161) (1,000+ gp; 0 lbs.) or ten; also see this question.)
- Make the magic item appear nonmagical. The 1st-level Sor/Wiz spell Nystul's magic aura [illus] (Player's Handbook 257–8) can, among other effects, cause a magic item to appear nonmagical. A fancy amulet or a masterwork staff may still appear valuable (see this question), but if the item does not also register as magical, then it'll probably be a less desirable target for thieves. Although the magic aura spell is usually a temporary measure with a duration of 1 day/level, the 5th-level Sor/Wiz spell permanency [univ] (259–60) says that the "DM may allow other selected spells to be made permanent" if a caster successfully researches an original spell (DMG 198) of the desired spell level—in this case, 1st-level. If the researcher takes 1 week, spends 1,000 gp, and succeeds on a Spellcraft skill check (DC 11)—and if the DM rules that it's viable to add the magic aura spell to the permanency spell list—, that researcher can thereafter use a permanency spell on the magic aura spell so that a magic item permanently appears nonmagical when magic is detected for. (This permanent magic aura spell will also probably cost a caster at least 500 XP.)
Deterring an object's destruction
Money spent on making a magic item more difficult to destroy is usually money spent poorly. While it's a good idea for anyone who wears magical metal armor to buy for that armor the magic armor special ability durable (Dungeonscape 39) (500 gp; 0 lbs.), typically only creatures that possess an Intelligence score of 2 or less will outright destroy an adventurer's gear—and, even then, usually that's a side effect of their normal attacks—, but the occasional honey badger-like intelligent foe may specialize in such a tactic.
- Magically toughen magic items. While the 6th-level Sor/Wiz spell hardening [trans] (Spell Compendium 109–10) doesn't change an item's break DC, but it does increase an object's hardness by +1 per 2 caster levels, and its duration is permanent (but not, sadly, instantaneous, so multiple castings won't stack). A typical level 11 wizard charges 710 gp for one casting of the hardening spell.
- Get magic items made of riverine. An item made from the special material riverine (Stormwrack 128) is even more indestructible than a wall of force effect—so, like, very indestructible—, yet creating an item from it adds 2,000 gp per pound of the item to the item's price. However, an amulet of the planes—and many other items, both magical and mundane—possess negligible weight, making it so that it's free to create such items from riverine. I suspect that the typical DM will quickly put a damper on this, but a more generous DM may reach this conclusion naturally. Really, if a creature wants a largely indestructible magic item, this is the way.
Also, a few broken magic items—like wondrous items (like an amulet of the planes) and weapons (perhaps, with a generous DM, like a staff of power)—can be restored to functionality by those that're also capable of creating the magic item for half the cost, time, and XP that it takes to make a new one normally.
Recovering a stolen object
This reader suspects this is so incredibly difficult because doing so is supposed to be an adventure.
- Maybe a weapon augment crystal? A masterwork weapon—and that includes a magic staff, as a magic staff must be made from a masterwork quarterstaff (as per DMG 284)—can accept a least weapon augment crystal, and a weapon with a +1 magical enhancement bonus can accept a lesser crystal. The crystal of return (lesser) (MIC 65) (1,000 gp; 0 lbs.) allows the owner to take a move action to cause the weapon to return to his hand… if the weapon's unattended and within 30 ft.
- Maybe an instant summons spell? The 7th-level Sor/Wiz spell Drawmij's instant summons [conj] (PH 225) allows a caster to crush a prepared 1,000-gp sapphire to bring from anywhere into the crusher's hand a prepared unattended object. (A noncaster probably must use the skill Use Magic Device to cast the needed spells.) If the object is attended, the crusher knows who attends the object and "roughly where that creature is located" when he crushed the gem. Excluding the sapphire, a level 13 caster charges 975 gp total for this effect, but only the instant summons spell's caster can cause the effect occur. (Others can still crush the sapphire, although that's kind of mean, and nothing'll happen.)
- An intelligent magic item may facilitate its own return. For an additional 4,000 gp, an intelligent magic becomes capable of speech (DMG 269); it can just annoy its thief until it's returned or silenced. Alternatively—and subject to minor adjustments by the DM in light of the 3.5 revision—an intelligent magic item can once per day employ the extraordinary power teleport as if its caster level were 12 (Arms & Equipment Guide 139) (21,600 gp; 0 lbs.). Such an intelligent magic item can use that extraordinary power to go wherever it wants—while adhering to that effect's limits, of course. (The bearer's permission isn't required.)
Modifying a magic item so that while it's in another's possession it causes discomfort, it's nonfunctional, or it functions at reduced efficacy
This fine answer mentions these options also, but let me offer a different take.
- An intelligent magic item bestows negative levels on a misaligned bearer. Nobody likes negative levels, and an intelligent magic item—even a very basic one (1,000 gp; 0 lbs.) (DMG 269)—bestows upon a possessor with an incompatible alignment 1 negative level… and an intelligent magic item with an ego score of 20 to 29 bestows 2, and one with an ego score of at least 30 bestows 3. Further, an intelligent item that possesses an alignment of CG, CE, LE, LG, or N is incompatible with any creature that possesses an alignment not matching its own exactly. (This reader thinks LG safest: Really, circumstances would have to be pretty weird for, like, a LG solar to swipe a LG PC's intelligent LG amulet of the planes! Enjoy playing that story!)
- Guarantee the loyalty of an intelligent magic item. First, the caster finds or makes a creature whose disposition toward the caster is at least helpful if not fanatic. Then on that creature the caster casts the 6th-level Sor/Wiz spell Nybor's psychic imprint [trans] (Magic Books of Faerûn column "Nybor's Small Codex: Spells from a Former Zulkir") that copies the creature's personality into a (really, really expensive) gem. The caster then duct tapes that gem to a magic item to transfer the personality copy into the magic item. Forevermore thereafter, the magic item's attitude toward the caster remains unchanged. While the magic item largely can't stop a thief from using its abilities, it will likely use its powers, try to dominate the thief, and just chat up the thief all in an effort to hasten its return to its ally. (A caster might also want to have on hand for the original creature a greater restoration effect… or not. I mean, c'mon, those are expensive!) (The DMG is vague on Intelligent Item Creation (288), but this method ensures the caster creates one that possesses a personality he desires.)
- A new magic item can be created so that its power is reduced if it's in the wrong creature's possession. If the DM is using the Variant: New Magic Items (DMG 214), a new magic item's description can include that it functions differently or not at all while in the possession of a creature that doesn't meet certain requirements. The DMG on Behind the Curtain: Magic Item Gold Piece Values specifically mentions magic items that require a certain class or alignment to use (282), but, as a new magic item's description is concocted by the player, the player can develop whatever restrictions she likes. However, creating new magic items remains at the discretion of the DM, and the DM can veto new magic items he doesn't like. Further, adding requirements to an existing magic item is also at the DM's discretion. (This last goes unmentioned by the DMG.)