Hello, I would to join in on this, you can get your bag snatched in all holiday resorts not just Albufeira only last weekend we were talking to a couple at Madrid airport who had there money stolen out of there bag on the Metro. It seems a big fat man bumps in to them and at the same time gets his hand in your bag and of he goes with your money.
One way to stop these thieves is to have a bag that goes over your head and shoulder then put your other arm over the zip part of the bag with the zip pull to the front, this way it stops them getting there hands on your money and other things that are in the bag.
As with all things on holiday keep a look out as you would at home, and only take out what money you need for the Day/Night and leave anything of value in the hotel safe.
Dave