If you are flying on say a code shared United Flight on US-Air metal, and you check the bag in at the United counter. But US-Air cancels the flight, and you end up (through your own choice, and a voucher) on Continental, which is leaving at roughly the same time as the original US-Air flight.

Who's responsibility is it to find your bag?

There's no way the bag's going to make it off the plane, and onto the right flight, (the system doesn't even know you're supposted to be on the Continental Flight) so it's pretty assured that the bags are not to be at the other end.

Thus -
United - Baggage Claim tag
USAir - Original flight (the bag probably got transported on a US-Air plane)
Continental - Actual Flight for passenger

The one time this happened, it was the airline who brought me to my final destination, (Continental) who I had to file the lost baggage report with.

Is that right?