What steps should I take when my phone is stolen?

My phone was stolen a few days ago and I reported to the police. I used find my iPhone which seemed to jump from place to place and the last location was, I guess, when the phone lost any internet connection just before I marked as lost. So now mark as lost shows as pending, the device is still trusted under my AppleID as I am reluctant to remove and erase it completely. I have tried to search online what you should do when your phone is stolen but different places give different advice. I do not have AppleCare with theft and loss, so that is not an issue though it is insured otherwise. What are the best steps to take to ensure my data and phone cannot be used or accessed by the thieves while still possibly being followed up by police?