I was actually wondering this same thing. There is an option under menu/settings/location & security/ it says you can "set password" for credential storage. What is this option, I've never messed with it.
Its odd, Ive asked this question before with almost no response. And from what I can tell, you arent allowed to save data to the internal memory which would at least be password protected the phones password. Anybody could open the phone and take your sd card, or if they stole the phone theyd have access to it.
There must be a way to protect data on the sd card, because its not just pictures and mp3's, but could be notes, app data, work stuff, personal info, a document full of all your passwords....ect.
Let me know if you have any suggestions, no way am I going to store any sensitive data on a wide open sd card.