If you are worried about pick pocketers go to www.pacsafe.com they have slash proof bags and purses as well as camera straps. Great for guys and gals. I used the citysafe 200 and its great.
Winter is an excellent time to go to Europe. There are next to no lines for the museums, you can experience the cities like the locals do and everything is cheaper! Plus, Christmas and New Year's Eve in Europe are very special.