For the app to work you either need two or more such devices (iPod Touch, iPhone, iPad) and one not to be lost at the time, or be able to access someone else’s device which has it installed.
Alternatively the same can be done via http://www.me.com – you need to set up a free MobileMe account (as opposed to the subscription one) via one of the devices’ settings, then enable the Find my… facility on each device in turn. Follow http://www.apple.com/ipad/find-my-ipad-setup/ – same process for each type of device.
A bit cumbersome to set up but could be well worth the effort, and it works!! – you can also wipe the data and set a lock remotely.
I only discovered it when it came up on syncing with iTunes tonight, although it is dated as last updated in November.