Had this happen on WN to a co-worker. Waited about 45 minutes til last bag came out, hers not there. Late at night, finally find someone who directs us to the office, where someone waves a vague hand down the hall and says "Oh, its probably with that pile that came earlier. You can go ahead and take it."

So, if ever in PHX and your airline losses your luggage, feel free to stop the WN office near baggage claim and help yourself- NO ONE IS WATCHING THEM.