It happens all the time. Usually the more (and shorter) connection you make the more likely it is.
The airline will not know where it is until somebody enters the information about the luggage in their system.
I had this happen to me before. The luggage always showed up after a day or two and often the airline was not able to tell me where it was before it actually showed up.
Just relax. For me it happens in about 1 out of 50 trips - not sure if the odds are 'good' enough to pay for travel insurance vs. just eating up some of the cost of buying some items.
Most airlines are pretty good in reimbursing the cost of essential items including some for new clothes.