I've heard that in some overnight trains, rooms don't lock (no door); instead its just a curtain. This means thieves can get in and out easily. Is this true? If so, how do my friends and I keep ourselves and our belongings safe? (Even if we secured it with some sort of lock and cable, if we were sleeping, I would imagine that thieves could just open everything up.)
Like anywhere, there's risk, however I'd believe thieves are less likely to operate in a closed environment, where if caught they can't really escape without jumping off a moving train...
When I travelled through Europe and Russia on sleeper trains, there was usually a high luggage cubby-hole to store backpacks. I'd keep my daypack on the wall-side of my bed, away from the door. This meant that if people did try to sneak in, they'd either have to climb the ladder to the cubby hole and drag down my backpack without waking any of the four people sleeping there, or else climb over me to get to my daypack. It was pretty safe, and I never felt worried.
On the occasion when travelling and sleeping when I have been nervous, I've wrapped my straps of my packs around my legs or arms while sleeping, so that any tugging or moving of the bags would wake me.
Mark Mayo covers a lot of good points, but when I've been worried about similar I use a bag/pack with locks. So it has two zips that lock together with a padlock, then I put a bicycle chain/lock through that and lock it to the shelf/seat -- there's almost always something. Sleep with the keys on a chain round your next if your extra paranoid. Then I sleep with a smaller bag under/beside my pillow with the really important stuff in it.
If someone's looking to steal stuff they're not going to bother with the risk of breaking the locks and getting caught -- they'll probably just look for other stuff.
And also try not to be obvious about what you're carrying -- a laptop bag or a camera bag are a big draw, but you can put those bags inside a scruffy old suitcase and it'll attract less attention.
Sadly, a lot of the time you don't have to make yourself not a target -- just be less of a target than the other people around.
But have good insurance anyway.
I would like to add some points to Mark Mayos already good answer:
Imagine you are a thief:
I therefore conclude that the risk that a thief will attempt to steal sth in a sleeper train is relatively low.