It's nothing to be worried about, I managed to get it 3 out of 5 flights when travelling between UK, USA and the Bahamas on the same booking.
Essentially you'll be held for a quick bag check etc., potentially asked a few questions and then generally on your way. I found it didn't delay me for more than 5 minutes either time, and you're not going to miss your flight at gate if there's nothing wrong.
Other posters may urge more caution, but it is seriously nothing.