Hey, it's true that in tourist locations there are alot of thieves/pick-pockets w/e you want to call them. Just make sure your bag is one with a zipper and always closed. I would say an LV speedy or anything like that is good. I had a medium sized coach bag, you can throw in all your papers, maps, etc. as well as when your carrying around water bottles or snacks.
I go to Italy every summer, been to almost all of the places you are going to. You will have a great time. And just to let you know, no matter where you go you will find great restaurants and ice cream as well as shopping. I went to Venice once and I regret not buying more things. I absolutely loved all the glass figures, other items, masks(hand panted!), souvenirs. All so beautiful! I didn't buy more because I didn't have space in my bags and didn't think of shipping it home. Shipping would be a better option.
Basilica di San Marco in st. Mark's square is one of my favorite churches. The way the granite floors shifted from the flooding. Ponte dei sospiri.. kiss your love while under the bridge at sunset.
Make sure u have a lot of empty space in your bags!!! Rome, Venice, Florence, Capri.. allll places you will want to bring home souvenirs especially If you don't plan on going back for a while.
At night in the center of Florence, many of the piazzas have delicious restaurants and funny acts to watch.
Someone mentioned this already, in Capri, the grotta azzura is so beautiful, you have to go in the morning before the high tide. Take a taxi ride around the city, it's really cheap and you can ask them to bring you to nice spots for pictures. If you want to go to a beach, probably amalfi would be the best place, if you are going there.
In Florence, climb the steps to the top of the duomo! Check out the gorgeous jewelry on Ponte Vecchio but it is extremely expensive.
hm.. in Rome, since you have soo much time make sure you go to EVERY tourist attraction, from vatican, pantheon, coloseo, roman forum, piazza di spagna, villa borghese, and lastly fontana di Trevi.. throw a penny over your shoulder, supposed to bring you luck that you'll return to that very place. It has worked for me for many years..

have a great time!!
after many years of begging my family, I'm finally going to Milan in June.