I think you have been exceptionally lucky. I take over 200 flights a year but only check bags in perhaps 20-40 of the cases (essentially, like brunos, as little as I can!). And sadly, lost luggage occurs at least yearly, often more. I can assure you that AF are not the worst at handling luggage (they are amongst the worst at delivering priority luggage in priority, but that's a very different matter). Do start the process as you say but the no1 tip we can all give you is don't drive yourself nuts over it. It is behind you now and it is not worth the aggravation. Let's hope they will give you something to show you they feel sorry for the mishap.