What protective steps should I take?
There are three main types of wireless security, known (in increasing level of security) as WEP, WPA and WPA 2. You should use the strongest type of security available with your equipment. Note that the longer the password, the better, and that with WPA, longer passwords have a much more pronounced effect on security.
If you use a laptop with wireless capability, make sure that it is switched to only broadcast and receive wireless signals when you are using it to surf the internet. If you plug it into a wired network at home, make sure you have not left the wireless connection on by accident.
Always change the password on your wireless connection after installing new equipment such as a new PC or a new router. The default passwords on such equipment are well known by hackers and are a very easy way for them to break into connections.
When choosing passwords, make sure to pick a mixture of letters and numbers, and avoid simply using words or phrases. While hackers sometimes try every possible combination of letters and number to hack into a wireless connection, many will start by running tools which try every word from a dictionary file as this is much quicker. Simply using words in a password can leave you more vulnerable to such attacks.