As with any other type of public transportation, you want to be mindful of your belongings, and Tazara is no exception. Each cabin door locks from the inside and there is a train staff member assigned to every car who can unlock it for you. The only problem we faced was that often times we couldn't find our guy. And so, rather than relying on him, we decided to lock and chain everything inside our room and take our irreplaceable valuables with us (passport and money).
While we didn't hear of anything happening during our trip, we have read a lot of stories of people leaving their doors unlocked and finding their belongings stolen so please be cautious!
Money & Visas
You will need local currency on Tazara train for both Tanzania and Zambia. You also need a visa for both countries depending on your nationality (for US citizens both can be purchased on arrival, ie. at the border crossing). As long as you are allowed a visa upon entry, you won't even have to leave the train to get your Zambian/Tanzanian visa (depending on which direction you are traveling).
Once you cross the border, someone will come to your cabin and you can purchase your visa. We bought our Zambian visas for $50 USD (make sure to bring exact cash in US dollars for these!), easy peasy. Next, someone will come around for money exchange. The rate is pretty terrible but you are paying for convenience at this point. If you have an option to carry both currencies with you prior to boarding the train, you will definitely get a better deal!