Unless you've installed a tracking application prior to it being stolen then you're pretty much out of luck.
Contact your mobile provider and inform them that the phone has been stolen, if you have your IEMI number you might be able to get them to block the phone from the network(s).
You should be able to get your number moved over to a new SIM, so you shouldn't need to cancel it and get a new number.
File a police report.
try mr tracker app , check to see if it is compatible first and your country network provider aswell. make sure you have you know your imie number. i know it works on samsung galaxy s2 dont know about the lumia 800. there are a few apps out there but you have to pre install them. if u have not done so mr tracker would probarly be your best choice , its around 20 dollars from mrxsystem website. i hope it helps you.
Not tried that one as currently I use Norton Mobile Security...paid (£30) but its very good... uses Google maps to locate phone, can remote lock and wipe, and can even make it scream if you lose it lol...
You can backup text messages and contacts, and the program’s online server to keep a copy of your phone’s data synced. Also, if your phone is stolen, you can track it down, find it on Google maps, and also remote lock it or wipe it completely. Works great!