Make sure your iPhone is updated to the latest firmware. To check if you are on the latest version of iOS Navigate to Settings ---> General ----> About
Launch the Settings App on your iPhone
Navigate to Notifications ---> Messages and Turn Off previews
Still in the Notification settings find Mail and for accounts turn off Preview
To stop all web history from being stored you can go to Settings ---> Safari and turn on Private Browsing
To Limit what apps get your location data Navigate to Settings ---> Privacy ----> Location Services. And turn off any apps you want to stop
To turn off system services that use location navigate to Settings ---> Privacy ----> Location Services ---> System Services. And turn off any services that you don't want getting location data.
In iOS 6 you can limit ad tracking by going to Settings ---> General ----> About ---> Limit Ad Tracking
To improve lock screen security to can ad a password to your device. Do this by navigating to Settings ---> General ----> Password Lock
Also to make more secure you can turn on Erase Data. Do this by navigating to Settings ---> General ----> Password Lock
Settings>General>Restrictions. This is where you can lock down Account access and location access so it cannot be changed. You can also disallow deleting and installing apps.
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Check out my other guide on How to get the most out of your iPhone/iPod touch/iPad http://snp.gd/ta6hze