how can i stop the thief from using my iPhone?
I believe in some country you can file a complain with your IMEI number and UDID (which you can have on your purchase proof or in iTunes in last device) and the police can then ask Apple to block the phone.

Anyway, the best practice here is to file the complain, you never know what happen with your data...

BTW, no need for internet connection because it's directly over GSM network