You probably don't want to hear this, but it's a favorite quote of mine whenever I think I've stumbled across an idea that nobody's thought of yet:

“Don't worry about people stealing an idea. If it's original, you will have to ram it down their throats.”
- Howard Aiken

The best thing you can do with your idea is to implement it faster and better than the next guy. Too many folks see the patent office as the fast track to easy money - never implement, just patent the idea and then run around suing people who look like they're trying to make the idea you never did. Then it's just a court battle. And little guys very rarely win those (the guy who invented intermittent windshield wipers being the notable exception).

If you're talking about an actual physical device (as opposed to software), build a prototype and then try to get some investment money. People smarter than all of us might tell you that patenting is the right thing to do, and get you the money and resources to do it.
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