File a baggage report with the airline as soon as you realize the bag did not arrive, and keep the report number, receipts, and updates from the airline. AirHelp and Citizens Advice both say to report the problem straight away and keep the PIR or written confirmation for your claim.
The money detail matters too: checked-bag fees can be refunded if the bag is lost or significantly delayed. AirHelp says a domestic bag is significantly delayed if it is not delivered within 12 hours after arrival; for international flights, the threshold is 15 or 30 hours depending on flight length. If you had to buy essentials while waiting, save the receipts in case the airline reimburses reasonable incidental expenses.
Sources
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