I would be careful in having too much loyalty. Status can be great, but just don't get in a situation where you're spending too much extra money per ticket just to have status, and its perks.
Try to determine the value of status to YOU (how much you value free bags, better seats, occasional upgrade, etc.) and just be careful to not spend more money that airline then is worth.
I have a feeling some FTers spend far more on MRs, etc., for their status than it is logically worth.
Good luck.