I flew AA SFO-JFK-MAD this summer with a 10 hour lay over at JFK and checked my bag through as I was meeting family for lunch. When I got to Madrid, no bags. I was connecting on a flight from MAD to PMI and needless to say I connected without my bag. My bag was delivered to my hotel the next day. I would say if you are going to check your bag through, maybe pack one days worth of clothes in your carryon.