I put the checked bag fee them on my expense report at "miscellaneous travel" expense and send in the receipt. (I mostly fly Northwest; Which airlines aren't giving out receipts?) I suppose I could get an advance, but I try not to bother with travel advances -- it's just more paperwork.

My employer has been setting limits on the number of checked bags they'll reimburse per traveler on a case-by-case basis: some trips I can get reimbursed for 2 checked bags, but some short trips they'll only pay for one. Fortunately, they tell me which before the trips.