I'm rather surprised about this question. This happens all the time, has happened to me twice. You just give your final address to the lost luggage department and they will deliver it to your hotel or wherever you are staying - no matter how far away it will be. If that's impossible then they will compensate you. After all when you check baggage, it is on the airlines responsibility, isn't it? You don't have to (and often can't) wait at the airport for the luggage to arrive and it doesn't matter if you are continuing with train, another plane or by car. The only problem I can see is if you don't have enough connection time to collect your checked in baggage at the line. In that case I think you must switch to a later connection or you'll have to arrange for the baggage yourself. You might still be able to get the original airline to reroute the baggage to your final destination eg. in case your original flight was late.

Of course baggage can get lost for weeks or forever, so you should also take normal precautions regarding what to check in and what to carry with you.