Definitely at least make BA aware; Mrs CKBA and I flew BWI-LHR-FCO last October and had items removed. Our bags 'got lost' at LHR and didn't make the LHR-FCO flight (despite a 4 hour connection) - I suspect that someone had pulled them aside to sort through at their leisure/out of sight. The more people who report these instances the better the chance of the culprits being caught.