Not being able to find your smartphone is probably one of the scariest feelings, today. If you are in your house, you'll probably find it under the pillow but what if you are out and have actually lost your phone.
First of all, call up your number and check if someone has found the phone. If no one is picking up, you need to get access to a PC with an Internet connection. If you have an Android phone, you can go to Android device manager from your browser.
You will be asked to sign-in to your account. Once you are logged in, you can see the last known location of your device. You could try and trace your smartphone from there. If you feel that the phone is lying around somewhere nearby, you could call your number.
The other two options showing on the screen are 'lock' and 'erase'. The 'lock' option will secure your phone with the pin or pattern you have set during the initial setup.
If you feel that you might not recover your phone, you can always erase the contents of the phone to prevent them from getting into unwanted hands. Earlier, the Android device manager had to be activated manually but there is no need for that now.
Similarly, in the case of an iPhone, there is 'Find my iPhone' feature which is integrated with iCloud. Find my iPhone lets you track the location of your phone, display a message on the lock screen, remotely erase the data and set an activation lock to prevent people from using the phone.
You should also inform your telecom operator to deactivate your SIM. The next step is to inform the nearest authorities and file an FIR. The police and the telecom operators have advanced tools to track the phone in case anyone puts it to use.
Additionally, as a precautionary step, apps such as Cerberus and Where is my droid? can be great to have on your smartphone.