Certainly.
In fact, on the Service Canada website, under the heading “Social Insurance Number”, there are, in fact, a couple of booklets. One is specifically on protecting your information, and one is a code of conduct, we call it. It's not just about how individuals are supposed to use social insurance numbers but also about how businesses and government should use the social insurance number. It recommends that people not carry it in their wallets. A safety deposit box is a good place for it.
Don't give it to someone unless you actually need to. For example, if you're applying for EI, you must provide it, because that's what it's for. You hear a lot of examples of people being asked to give it for renting a house or for getting a card to rent a video at your local store. I guess we don't do that anymore. Those are not the reasons for which the number was created, so we advise Canadians to be cautious about using it in that way.
That information is readily available on the website.