It doesn't hurt to write your name and address on a label inside you bag. Do not label the outside of the bag as that makes it easy for a potential burglar to see (a) you are leaving the country and (b) where you live!

If you lose your bag, you will fill out a claim form and the airlines will look for it. They will do this via the tag on the outside. Having your name and address inside will help if for some reason the tag comes off the bag (which is not an easy thing to achieve!).