This is what I do in this case. I have never lost a bag, but had many delayed for 24 hours or so. And that can happen even with a 4-hour connection. At least nowadays you can usually track your bag online. (Interestingly, I find that it usually arrives just a few hours after you. It is the processing of it and handing it over to the delivery service, which then goes to multiple destinations, that makes it take a whole day to get to you.)