I wrote about Txt2Lock a while back. The software installs on your handset and lets you remotely lock the handset via SMS if you lose it. Just send a preset code to the handset and it’s instantly disabled.
The guys there are continuing to add support for more Nokia handsets, including the popular 6120 Classic which is available on several of the low cost tariffs including the new ones from 3 (we’ve got two of them here!). New functionality also sends you back a confirmation SMS so you know your handset has been locked.