find my iphone is totally useless if somebody steals your phone. The only way you can then track the phone is by its IMEI code via network operator... so yes, apple should make this thing a little more usefull. Unless they like that peoples iphone's get stolen so they have to buy a new one
This is one of, if not THE BEST, reasons to jailbreak currently. Cydia apps like "IGotYa" prevent the iPhone from being powered off on the lock screen. So if you set your iphone to automatically lock every minute, there will be no way for the thief to turn off the phone. While it's true that ejecting the SIM card will indeed make an iphone impossible to track, most thiefs don't know this much less have a paper clip available the moment they're stealing your phone. This gives you a huge head start in tracking the device before they can hook it to a computer to wipe it.
Recently I was robbed by two teenagers who placed a semi-automatic gun to my face near Sony Pictures studios in the early evening. Right by a police station, no less. The douchbags who made off with my phone weren't able to turn it off, obviously freaked out about it, and threw it into the side of a freeway overpass. I tracked it with Find My iPhone, called the police who were searching that area for evidence, sent a lost beep sound to it, and it was recovered. There would've been no possible way to have done that if the phone was able to have been turned off the moment it was stolen. I would've been out $700.
Apple should definitely add a 'prevent OFF' when the iPhone is in the lock screen option. Until then, I'm buying theft insurance with my next iPhone. It's not worth getting killed over.