If you checked it from your point of origin, then you can do what I did and just not pick it up until you need it.

I've taken advantage of this twice now. The first was the situation in this thread where I needed to check items through to allow for a few nights in Chicago.

The second time I arrived in Atlanta and decided to forgo the luggage pickup for a few hours in order to catch a cab to go get a rental car (and then return to pick up my luggage). Good thing too, since I was the first of a ten person line at a rental agency that had NO CARS {meaning I got the first return of the morning about an hour later}.

So if you've checked your bag into the system, you have up to 72 hours to collect it from time of arrival, and can do so any time the station luggage pickup is open. Since they actually match luggage tags, unlike the airlines who seem to just assume that no-one will walk off with your bags, it's safe for you to enjoy Chicago.