Often times the criminals get your card by replacing the portable reader at the location with a fake that captures your information. Despite the fact that this is now, or damn well should be, well known many stores remain complacent.
The best advice that I can think of would be:
- Do not use a debit machine from a store that you notice is unmarked and left out in the open. All stores should keep the machines either strapped down or individually marked to prevent duplicates.