I've never lost a mobile phone since I've started using them in the 90s. Back then, however, I lived with two younger brothers so a form of protection was necessary. Additionally, with exposed buttons, it was more than possible to butt/pocket-dial. These days with bar phones, it's not impossible, but it's harder. My phone is as attached to me at the hip as my son is so I always know where it is. I keep better track of my phone than I do my wallet (lost twice over the years) and ended up getting a chained one. When my son is old enough to reach for it I'll probably start locking my phone again.
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If it ain't broke, use a sledge hammer.