The real protection you can have is to surround yourself with Sabda Brahman (transcendental knowledge).
In the commercial airlines, at takeoff the flight attendants instruct passengers in the use of oxygen masks, reminding them to secure their own masks before assisting others. In the same way, to be effective spiritual warriors we must protect ourselves first. Otherwise we are of no use to anyone. The greatest protection of all comes from our unconditional, unmotivated, uninterrupted devotional service. Such service opens us up to a flow of divine love and protection in all circumstances.
Reference: Spiritual Warrior III: Solace for the Heart in Difficult Times, Chapter 8 – How To Strengthen Ourselves
One who learns to take shelter of Krishna can be peaceful & protected in any situation.
Maharaj Ambarish [when faced with fiery demon] didn't move. He took shelter of Lord in surrender. That surrender attracts the Lord to protect us.
This protection is offered to a devotee even from the very beginning of his devotional service. Kaunteya pratijanihi na me bhaktah pranasyati (Bhagavad Gita 9.31). If one simply begins devotional service, he is immediately protected by the Supreme Personality of Godhead. This is also confirmed in Bhagavad Gita (18.66) : aham tvam sarva papebhyo moksayisyami. Protection begins immediately. The Lord is so kind and merciful that He gives the devotee proper guidance and all protection, and thus the devotee very peacefully makes solid progress in Krishna Consciousness without outward disturbances. A serpent may be very angry and ready to bite, but the furious snake is helpless when faced by a blazing fire in the forest. Although an enemy of a devotee may be very strong, he is compared to an angry serpent before the fire of devotional service.
A person who worships the demigods and gives up Lord Vasudeva [Krishna] is like a man who gives up the protection of his mother for the shelter of a witch.