At least in theory, for aircraft which use baggage containers, there is a container which is reserved for priority bags. This should then be the first to be loaded onto the belts at the destination. I say in theory because the ultimate responsibility for getting the priority bags onto the belts first lies with the destination handlers, and how seriously they take that responsibility varies from place to place. Usually I find it works quite well though.

I'm not sure about aircraft which don't use containers. I guess either they load the priority bags last so they are first out, or there is a small space reserved for them. But you still rely on the destination handlers to put them on the belt first.