As long as the WN baggage office is still open, you'll be OK. There are plenty of legitimate reasons why someone doesn't claim luggage right away. It happens every day. The baggage folks clear the unclaimed bags from the carousel usually before the next flight arrives and set them aside. Then when they have a free moment between arriving flights, searching for missing bags, filling out paperwork, etc., they'll secure anything not immediately claimed.

If they're really on the ball, they can check all the flights that have already arrived, cross reference all later flights, call the station where you left, check other airlines, etc., looking for you. But they probably won't do all that.

When you do finally arrive, go to the baggage office and get your bag. Just plan on enough extra time to wait in line, show your baggage claim, PNR, and proof of ID. Plus you will need enough time to check back in to your ongoing flight.

Don't sweat it. Enjoy your trip.