How should I go about tracking down my stolen iPhone 6 using Find My iPhone? I have used Find My iPhone to track down my iPhone 6. 

It's running iOS 8 and the iCloud web app shows that someone has travelled a fair distance with it. 

How should I go about protecting access to my data on the deviceas well as not ruin all chances of finding it.

My worry is sending a remote wipe will reduce the chance they can get my data but I won't be able to track the device further.
Remote-Lock the phone so they can't use it.
Visit your local police.