Just to add, from experience, if you do not collect your baggage at LHR and do not complete a customs declaration, you will need to go back to BA's lost property service.

You will then need to be escorted back airside, with suitable photo ID, to find your luggage in the lost property area. You will then need to clear customs.

All fine but added hassle if you are at or near LHR. However, just to be clear, if you haven't completed a customs declaration on arrival, BA will not forward or deliver your luggage to you. You have to collect it at LHR.