And don't leave a pile of money floating around, that's what's attracting the criminals. Invest it in upgrades, girls or items, even if you plan to sell those items/girls later.
A few tips for those who have brothel security troubles and don't play warrior: don't start a new chapter before you fill your brothel with max girls number, and get the bride skill for a few of them (at least 1 on 4). Equip them with weapons as soon as you can. I play rogue and never have security issues at normal difficult level.
