My estimation - well, I'm never going to have personal experience of this - is that BA will regard this as just a forgotten bag, which is an extremely common event. Think families where multiple people look after multiple bags, and one or more bags just get forgotten. These are then piled up in the baggage area, waiting for someone to claim them. What should then happen is that you have to personally clear the bags through Customs. Just go to Arrivals, speak to a HAL security officer, who will take you via staff security. Bring your passport and then you should be admitted to the baggage reclaim area. At that point you can talk to a BA baggage agent who can tell you where the bag currently is and retrieve it from Unprocessed.

BA will know the bag is supposed to terminate at LHR, and they won't normally offer any alternative other than personal collection. If there is a DHL option I'm not aware of it.