Actually, I did, but I'd like to know what would happen if I wouldn't.
Situation is following:
1. Kiev-Copenhagen with SAS
2. Copenhagen-Seattle with SAS
3. Seattle-San Francisco with United

The very first flight was about 35 minutes late at CPH, but I just did it to the next flight (and being on board I already knew, that my luggage won't follow me). I was running to the flight in CPH and only because of this fact I arrived at the gate in time. Don't think, that the CPH-SEA would wait for just one passenger, even if I already was checked for this flight in Kiev. So, what would happen in this situation, when I wouldn't make it to the connecting flight? Would I get some compensation (at least free food at CPH)? What if the next flight (next day) would be overbooked? And when should I expect my luggage being delivered to my home, if it should make the trip CPH-SEA-customs-SFO? Sure, I've made my baggage claim at SFO the same day.

The trip was booked over Expedia.