It's fairly safe to walk around in most areas frequented by gringos during the day. The exception is on Sunday afternoons, when much of the city is virtually deserted (or feels that way, anyway). At night, either travel in a group of 4-5 guys walking, and always in a taxi if traveling solo.
BTW, taxi fares are cheap compared to fares in the U.S./Canada. For instance, the metered trip from the HDR to the SL is around 700 CRC....about $1.40 U.S. Worth the fee, friend.
There's a lot about security in the newbies section, but here's a short list:
1. Carry a photocopy of your passport's I.D. page and your most recent entry stamp, and your boarding pass, rather than your original passport. The cops may give you a little grief, but the photocopies are perfectly legal, and will be particularly good proof if you include the stub of your boarding pass from your air trip to C.R.
2. Do not wear any jewelry. Wear a cheap watch (Timex $10.00 special). The bling impresses no one, but is excellent thief bait.
3. Carry only as much cash as you need for the evening's activities. Only beginners flash a bankroll.
4. Be aware of your surroundings at all times. You'll need to stay more or less sober in order to do this. And I'm not just talking about being alert while on the street; you need to watch your wallet and your ass even while in a strip club, the HDR, KL or SL.
5. Don't try to buy/consume illegal dr*gs. The list includes, but is not limited to cannabis, coke and cr*ck. The bust isn't worth blowing your vacation, and the elements who deal in dr*gs might lead you into further trouble.
6. "Chica-proof" your room before bringing a girl back for fun. Lock your valuables, prescription meds, original passpport in your room safe. Most of these ladies are very honest, as their reputation and career depend on it...but there's no need to leave temptation out in the open.
6a. Check out the "scammers" section in the V.I.P. photo gallery so you don't inadvertently bring one of these little ladronas into your room.
7. Do not carry weapons of any kind. You're on foreign soil; if you get involved in a fight and pull a weapon on a tico, you lose, even if you win the fight. And, if you're like 90% of the guys I've met through CRT, you'd lose the fight anyway.
8. "Ponga la maria, por favor," ("Turn on the taximeter, please). A phrase to know and use.
9. 9-1-1 is the emergency number in San Jose, just like here.
10. While we're on the subject of numbers: Keep a list in your room safe of all your credit cards and their contact phone numbers, emergency numbers back home, any allergies to medicines etc. You may find it useful if you get robbed or into medical trouble.
Finally, it's very helpful to speak some Spanish. Even ticos who don't speak English will be patient with your efforts, and it's not necessary to be totally fluent...but having some Spanish is yet another survival tool.
Hope this helps. And welcome to Paradise!
