Khajuraho is a small town so crime statistics are fairly low but that does not preclude caution. Stick to the well-lit and busy section of the town and be extremely alert in the dark. Cases of mugging, theft and worse aren't completely unheard of but by and large serious crimes against travellers are few and far between.
Basic precautions:
Keep your money and travel documents close to your body (perhaps in a pouch slung around your neck, tucked out of sight under your shirt), Keep several photocopies of your passport, insurance, travellers' cheques etc. scattered through your luggage,
Do not use a waist pouch, it may as well be a transparent plastic bag: it's that fragile and that obvious!
Do not put all your money in one place, Many women travellers wear the long tunic and loose pyjama dress of Indian women called the salwar-kameez and find that it substantially dissuades unwanted male attention.
If you are travelling alone, do not advertise it.
If you lose your passport lodge a First Information Report at the local police station and contact your embassy.
It's hopefully been a great tour of town .