You'd probably have to make sure that it only activates if the phone is actually stolen, not just lost. I found an iPad in the street once, took it home, found the owner's details and took them to come pick it up (turns out it was some sort of sale team, and one of their staff put it down and forgot to pick it back up).

I'd've been _extremely_ unimpressed if the device suddenly started proclaiming it was stolen.