Nice writeup by Andrew Orr for The Mac Observer. This is one of those posts that worth scanning now, while you are feet up with a cup of coffee, rather than in a state of panicked response to your phone gone missing.
One note: Ignore the link to “How to Set Your iOS Device Data to Auto-Destruct” on that page. As pointed out in the comments, it’s outdated and no longer accurate.
UPDATE: Outdated link was deleted from the Mac Observer article.
The article links to a 2013 step-by-step on how to setup iPhone data protection which is no longer accurate.
Thanks. Added a note to the post, touched base with the author.
— Dave
Another good setting not mentioned here is the send last location when battery is low. That also has the side benefit of often keeping a last ping visible before someone turns it off.
Also even if the phone isn’t on the map when you visit the page. put it in lost mode anyway, that way if it reconnects later, your message will push through and the interface will save that last known location. (this sequence of events helped me recover my mom’s stolen iPhone.) They only turned it on for a minute but it was long enough for it to check back and, and then we could tell the police where it was.