I did it once at MDW, but my excuse was that my connecting flight was late and I was told that my bags wouldn't make it, so I didn't bother waiting for them. They saw that I was continuing on in 2 days and called me - and held them.

That said - - If your bag(s) are goin' round n' round on the belt, aren't you a little worried that someone might snag them? It happened to me at SFO when my bag missed the flight from LAX and came in on a later flight. SkyWest ended up having to pay me something like $1100. <Loooong story I posted here a couple years ago>