Security of possessions is, as always a concern in crowded festival environments, even in relatively safe Europe. Personally I’ve been pick-pocketed in Rome (actually a foiled attempt) and successfully robbed in Barcelona so I know well that dressing-down is vital to blend in easily. Northern Europe is pretty cool in both senses – temperature and safety – but southern countries have less efficient policing (and care less too).
Basic festival dress suggestions are (tho’ not if you’re going to the opera!):
Wear minimal jewellery, a cheapish watch, reduce wallet contents to minimum. ie leave unnecessary credit cards and excess money in your hotel safe.
Keep phones, money and compact cameras in different zippered pockets. Wear appropriate clothing, similar to locals (if they all wear long pants, try to follow suit).