From UA:

Delayed or damaged baggage

What should I do if my checked luggage doesn't arrive with me?
Please see a United representative before leaving the airport to file a delayed baggage report. The information is entered into United's baggage computer system to begin the search. The system uses a combination of information to locate the bag including claim check number, description of the bag and the customer's name on the bag. United uses the latest bar code scanning technology to record the location of a bag multiple times during the journey. This enables us to locate the bag quickly and minimize your inconvenience. Once located, we will contact you to verify delivery arrangements to your hotel, home or office at no charge and with our sincere apologies.

Who do I contact if my luggage is delayed over 3 days?
If your baggage is delayed over 72 hours, please ask our baggage service representatives at 1-800-221-6903 to provide you with a Baggage Tracing Claim Form. You may also request this form via our website. Timely completion of this form will allow us to perform a comprehensive trace based on your list of items in the baggage.


Here is a link to fill in an online form to complete a Baggage Tracing Claim Form

http://www.united.com/page/article/0,1360,50415,00.html

Hope this is of some help!