Money belts, hotel safes, throwaway wallets, etc are all good advice. There are a few I can add:
1. Stay in the "tourist" areas. Mexicans know if the tourists are being robbed, raped, and pillaged they will not come. They try to keep the tourist areas fairly safe. If you want to go exploring off the beaten track that w`ould be asking for trobule.
2. If you do find a need to drive somewhere have your hotel get you a car and an english speaking driver. Less likely to have anything go wrong and you have someone to complain to, the hotel. Ask your driver's opinion about going to some other than tourist area. Most likely the hotel has used him before and has had no problems with him. If the driver doesn't think it good to go there it certainly won't be the place for you.
3. Traveler's checks, traveler's checks, traveler's checks. If credit cards are lost or stolen it takes some time to replace. Be sure you sign them and have the numbers in another place with you. I have a friend who lost his American Express checks in Mazatlan (sp?) in the morning, called American Express Express, went to luinch and had his checks by 2 PM. No credit card can give you that service. It will also make conversions easy as merchants will tell you how many checks something is. I've used traveler's checks to buy stuff at street markets in different places in the world (both civilized and uncivilized) where no one took credit cards but they would take traveler's checks. Don't leave home without them.
4. Get a phone card that you can use in Mexico. Hotels are notorious for charging exorbitant fees for long distance calls. Some cards can be used from the hotel phone and some from a phone booth. I've used AT&T in various places including Mexico with no problems. You call a toll free number, ask for an english speaking operator (surprisingly rare that they have to get another operator) and make your call. In some countries it's all automated and you don't even talk to an operator.