Had a flight this week that was delayed 20-30 minutes due to "trying to balance the luggage counts" or some such language according to the pilot.
I was watching outside. They unloaded all of the luggage after they loaded it, messed around some more, maybe counting bags, then after that they re-loaded all of the bags and we took off. It did not appear that any new bags were brought in during that point, nor did it appear any bags were removed.
Have always had good luck with Southwest with luggage. No lost bags personally but others I've known, their luggage has always been found. It does sometimes take a few days; one person exaggerated the value of what was in her suitcase expecting a big check so she could go re-buy everything; they gave her like $100 or some small amount, then 3-4 days later they found her bag and there was some back and forth if it was really the same bag as the contents did not quite match what she had said were in the bag. You know, saying something like you had a $200 designer jeans in the bag when you really had a $15 pair of jeans from Wal Mart in the bag. Moral of the story is don't exaggerate what is in your luggage if it is lost. Southwest tends to be very honest with customers and it should be a two way street. I was very disgusted by that situation (not on the part of Southwest).