Encrypting the Windows Mobile device could be a good idea. But where to you enable it? In Settings -> System -> Encryption you can only choose to encrypt the extra Memory Card.

Turns out, there doesn’t seem to be a way to manually enable it but using the ActiveSync policy in Exchange 2007+ or using System Center Mobile Device Manager. When you enable this feature, the device will be rebooted and the device will be encrypted. On a Sony Ericsson X2, this didn’t take more than a minute or so.

However, it seems like there’s a tool available to enable encryption called DojoCrypt.