It's all about the buddy system. If you go to a paintball field alone and leave your crap in the loading station, it's risky. But if you have one or two friends with you, they can stay by your bags and clean up while you get more air, etc.
Also, choose your field wisely. If you associate yourself with a field that is filled with a bunch of dishonest thieves, not only will your gear get stolen, but the people there won't take it seriously, or may even help the culprit. However, if you go to a place with helpful, friendly players, they'll keep an eye out for you.