Since I had iMessage open when my phone was stolen, my first panic was "oh shit my phone is unlocked." This meant they could poke around my photos, notes, text messages, Venmo, etc _if_ they kept my phone unlocked. ?
I sprinted back to my hotel and pulled up Find My on my MacBook. I set my phone to Lost Mode and initiated a remote wipe and prayed it would go through. The Find My UI isn't particularly intuitive here, but looks like it went through a few minutes later.
(pro tip: enable Find My!)