Staying in a hotel is not totally free from danger in spite of the security guards and alarms installed. There are hotels that have little security measures and there are hotels that really assure you of your safety. But no matter how hotel managements keep their hotels safe, you will always need some security measures to be observed for your personal safety.
First, when you get to the hotel, locate the fire exits, elevators, public phones and other things you may need in the future. It's no fun thinking about possible dangers and emergencies, but being proactive is always better than being taken by surprise with different troubles along the way.
Second, always keep the door locked when you are in the room. When you go out, even just for short while, do not forget to lock your room. There may be people who keep watch on anybody who would leave his/her door open. Don't give robbers an inch.
While you keep your door locked, do not just open it everytime somebody knocks. Make sure that you know who you will be opening the door to.
Next, when you go out of your room, do not make it obvious that you'll be out for a long time. You may leave the radio or the TV on and pretend that you're coming back right away.
Do not trust strange places or strange people. It's ok to be polite and show some trust to your new found friends, just keep a healthy amount of suspicion to keep you safe from avoidable troubles.
Lastly, always check the entire room. Make sure that the door has a deadbolt and a door lock. Check the windows and the ceiling and make sure that you are totally safe from burglars. Lock the door and the windows before you sleep and leave at least a dim lamp on.