As mentioned above, try to avoid checking in late. But don't check it too early too. If your flight doesn't leave for several hours then consider keeping your bags with you. Most airlines now do not let you check in more than a few hours before departure. Some other suggestions:
Ensure that you receive claim tags for each luggage piece. Airlines typically will place these tags on your boarding pass, on a separate piece of paper, or on the back of your passport.
If you do have a tight connection, then politely ask when checking in if they can place a Priority tag on your luggage. Priority tags are handled first, so there is always a better chance that your luggage will make it. Usually priority tags are reserved for elite flyers, so your request may be denied.
Always watch the luggage tag being attached to your luggage. This will ensure that you know it was tagged properly at the start of your journey.
Don't let agents place backpacks or rut sacs into plastic bags (these are usually the same bags as baby strollers are placed in). This usually delays your baggage in connecting airports as it is handled as fragile. If they claim that the straps could get caught, then insist it be placed in a tub.
On Arrival
Don't take your time getting to the luggage carousel. There's usually not too much thief at luggage carousels, but if your black luggage looks like everyone else's, then there is good chance that your bag could be accidentally taken.
You don't need to crowd the chute like everyone else does. In fact the best place to stand is just before the chute so you can see luggage coming out. You can't grab it from your position, but you know it has come out and you can walk around to grab it or wait. At least you know it has made it too.
If you grab luggage off the carousel, then ensure that it is in fact yours!
