The IMEI number is used by a GSM network to identify valid devices and therefore can be used for stopping a stolen phone from accessing that network. For example, if a mobile phone is stolen, the owner can call his or her network provider and instruct them to "blacklist" the phone using its IMEI number. This renders the phone useless on that network and sometimes other networks too, whether or not the phone's SIM is changed.
The IMEI is only used for identifying the device and has no permanent or semi-permanent relation to the subscriber. Instead, the subscriber is identified by transmission of an IMSI number, which is stored on aSIM card that can (in theory) be transferred to any handset. However, many network and security features are enabled by knowing the current device being used by a subscriber.
When mobile equipment is stolen or lost the owner can typically contact their local operator with a request that it should be blocked. If the local operator possesses an Equipment Identity Register (EIR), it then will put the device IMEI into it, and can optionally communicate this to the Central Equipment Identity Register (CEIR) which blacklists the device in all other operator switches that use the CEIR. With this blacklisting in place the device is bricked and becomes unusable on any operator that uses the CEIR, making theft of mobile equipment a useless business proposition, unless for parts.
And its a must that your SIM card nos should be blocked by your operator . I have noticed a few incidents were stolen SIM cards are used for illegal purposes like drug trades . where in you can be arrested and face a Jail term if it is not blocked as you are the owner of the SIM .