I guess the simplest answer is "bring a friend with you," but, barring that, any ideas? Leave it where you were sitting/standing and hope that no one nicks it? It's all but 100% that I'll be wearing a dress, so pockets are out.
Alternately, anyone wanna come with me next Saturday to hold my purse while I dance with a flashmob? I'll have to be there for about 3½ hours, although really, I'd only need a purse watcher for the last hour.