Hold onto your boarding pass and your checked luggage receipts. Let the airline know as soon as possible that your bags didn't show up. Fill out a Property Irregularity Report (PIR). Track your luggage using your file reference number. Keep your receipts if you have to replace necessary items, such as toiletries or underwear—things that were in your bags that you can't really do without for a few days. File a claim with the airline once your luggage shows up.