Definetely write a complaint, keep it polite, and ask the airline for a suggestion in how to avoid this problem in the future. I have had lost bags three times this year on the exact same connection in ORD. Each time, I clear customs, hand the bags to the re-check, and then after a 2 hour connection, the bags don't make it. The last two times I have searched out a cust. rep to try to ensure the bags are being left in the correct locations and they will make it, but they never do (and always at the end of a 28 hour trip). First time UAL apologized with a letter, 2nd time UAL apologized with a letter and $x cert. third time they apologized with emails, a phone call, and $x cert times 6. Constructive critism never hurts and hopefully will make things better.