The first thing you should do is place an alert on your credit report. Three different nationwide consumer reporting companies allow consumers to place alerts on reports so companies trying to access your report (to give a loan or line of credit to the thief using your information) will immediately realize you are the victim of identity theft by looking at your report. These companies include:
Equifax: 1(800) 525-6285 (www.equifax.com)
Experian: 1(800) EXPERIAN (397.3742) (www.experian.com)
Transunion: 1(800) 680-7289 (www.transunion.com)
By contacting one of the above companies, you are effectively alerting all 3 companies because each company is obligated to alert the other companies.