Apart from what most people have said about home security, I recommend checking your accounts, credit card/bank accounts for example. Although they may not have stolen them physically, they may have used a mobile phone camera to capture details. Make a check list of what direct debits you may have so that if you do open a new account, you can transfer you direct debits over. Check under your home insurance if you have anything for identity fraud protection/assistance.
It has happened to my family before when I was young, but I'm just glad that nobody got hurt.