1) Be sure you are staying in a hotel with a safe in the room or safety deposit boxes at the front desk. Most 3-star or better hotels have both.
2) Once you've checked into the hotel, use the safe or safety deposit box. The hardest part is getting people to utilize them, the hotels advertise having them, but then people don't use them, and that's where things can go wrong.
3) Know the hotel's policy if something should happen to your jewelry. In most U.S. States, an innkeeper is not liable for hotel losses, unless they are the direct result of the hotel's negligence. For example, if a hotel employee is caught stealing it.