items in play vs keeping them in your hand

[bstanley52]

I understand the distinction between items in play ("carried") and items "in use" and items in my hand. My question is this... is there a situation or general strategy under which you would not play any items from your hand if you cannot use them immediately?

Say I am a Female Human Clergy. I cannot use the two items in my hand because one is Male only (Gentleman's Club) and the other is Wizard only (Pointy Hat of Power). Should I play these to get them out of my hand? Or should I keep them in my hand to protect them from getting stolen or cursed? I cannot use them... yet.

I am worried that by putting cards into play that I can't use that others will be able to steal them (using the Thief's power) or some of Munchkiny way. Then again, should I just sell them?

Adding to this is the knowledge that once an item is in play you cannot discard it to fuel a power.