If your bag arrives open, unlocked or visibly damaged, check immediately to see if any of the contents are missing or damaged.
Report any problems to your airline before leaving the airport. Insist that the airline fill out a form and give you a copy, even if they say the bag will be in on the next flight. Get the agent's name and an appropriate telephone number for following up (not Reservations).
It's not unusual for the airline to take your claim checks when you report the problem; simply make sure this is noted on all copies of the report.
Before leaving the airport, ask the airline if they will deliver the bag without charge when it is found. Also ask about an advance or reimbursement for any items you must buy while your bag is missing.
Open your suitcase immediately when you get to where you are staying. Report any damage to contents or pilferage immediately by telephone. Make a note of the date and time of the call, and the name and telephone number of the person you spoke with. Follow up immediately with a certified letter.