The strong sea wind will grab everything. One easily loses lightweight pieces like hats, scarves, plush animals (Russell was strictly confirmed to staying in my bag...) Along hte cliffs there is no way of retrieving a lost item. Secure your belongings.
Helgoland is famous for its clean air, but the consequence of clean air is a high intensity of UV radiation. Use sunscreen, and use a high protection factor. SPF 20 was hardly enough for three hours in August.