It may seem obvious, but you should lock your iPhone when not using it. You can still receive calls and text messages while it is locked.
To lock iPhone, press the Sleep/Wake button.
You can also set the Auto-Lock interval so your iPhone will turn off more quickly after a period of inactivity.
To set Auto-Lock: Go to Settings > General > Auto-Lock and set the interval to a short time, such as 1 minute.