Easiest answer is "don't", but like you, I'm often out by myself.
Carry a spare piece of rope - most things can be jury rigged on the water, enough to get you back at least. Check all your kit regularly - breaking stuff is annoying at the best of times, but all that much more critical when you're by yourself.
Don't sail further out than you're prepared to swim back - and remember that the distance decreases the longer you sail.. If the wind is a bit light, sometimes I'll swim my gear in instead of sailing it, just for the training.
NEVER go out in an offshore wind by yourself.. even cross-off is very dodgy. If you have gear break, or an injury, you don't want to be drifting off out to sea with nobody around to hear your yells. Make sure someone know where you are, and when to expect you back, that way they'll at least know when to start looking for you, and where.
Learn how to derig on the water - sometimes pulling everything apart, tying it on top of your board and paddling in is your best option. Also practice sailing without a fin - either using the rail, or the harness tied through the back strap method. I had a fin drop out once, and managed to make it back... just. It's not easy!
There is a pretty good collection of articles about safety and self rescue on the UK boards forum:
http://www.boards.co.uk/articles/index.asp?article_type=11www.boards.co.uk/articles/index.asp?ID_A=6&article_type=11Mobile phone is a reasonable idea - provided you have coverage where you're sailing, and don't have to take it out of the bag to use it. Yes, I take my car key - there's a string loop in the key pocket of my harness, and that keeps it safe and secure, and is a much better idea (around here anyway) than hiding it in the usual place on the car.