Just get a hidden pocket and keep it in there. I have this one: https://www.amazon.com/Eagle-Creek-Travel-Undercover-Hidden/dp/B0054IH9UC

I’ve used this a few times to thwart pickpockets in Europe but last year was the first time I used it at Coachella. It’s so freeing to be able to dance and not have worry about checking my pockets every 2 minutes to see if everything’s still there.