Well it depends what you are riding.
The N125 beween Lagos and Sagres has a wide carriage way with wide verges. If you are on a machine up to 125cc, you should be fine as you can cruise along the verges and let the world pass you.
If you are on a bigger machine, no problem, except do not let the curves fool you. People are regularly flattened along that road as its long stretches can encourage speeding.
Can't see any problem with theft unless you are riding a BMW, Harley or Goldwing. Then normal procedures should apply.
