A few years ago my bags didnt make a connection (inbound flight delayed several hours) and I was leaving MAD the next day by land. Thai only flew a few times a week and were most unhelpful - despite assuring me it would be forwarded on to where I was staying. I eventually got my bags literally on the way back to the airport 2 weeks later, but only after several expensive phone calls and visiting the Thai office in Madrid for a second time.

The lesson learned is dont count on bags being on-delivered if they misconnect.