I confess that I check a bag on nearly all my flights -- I like having my little pocket knife too much.

USAir, especially the little express planes, often choose to put my bag on the next flight rather than my flight. But UA has been really good the past few years. I've never had a real problem (real meaning I didn't get my stuff before I needed it).

Now that I'm flying way too much and have been doing some complex trips (and to think that just a few years ago I had the mindset "how do I make sure to get to 1k this year"), every once in a while I wonder: earlier this year I flew BOS-ARN-YYZ, was around Canada for a few days, then flew YYZ-BNE (via SFO and SYD) and back to PHL. What if they misplaced my bag on its way to YYZ? Do I tell the YYZ UA people "my new address is this hotel outside Brisbane, which you don't even fly to, please deliver"?

I imagine it can get really ugly, and at some point I would tell them to send the bag back home and I'll get it when I return. But is there any 'right' way to set up the flight to be more resilient to bag problems (other than not checking bags, of course)? I would guess having it all be one ticket would help a bit, but surely they don't expect me to book 14 legs over three weeks on one ticket -- and I imagine that's far from the craziest FTer schedule.