In case your baggage is missing upon arrival to the airport, you must fill out a missing baggage claim at the luggage counter before exiting.
You will need your baggage receipt and to fill out a document called Property Irregularity Report (PIR). At the end of that process, a claim reference number will be given to you.
Ensure you make a note of this in order to track your baggage. With some airlines, you may have the opportunity to report your missing baggage online on their website within 48 hours of your flight landing. If you have to purchase any hygiene products or clothes because of your missing baggage, you have 21 days from the day you get your baggage back to ask for reimbursement from the airline.
Make sure to keep all relevant receipts. If your baggage has not been found within 21 days, it will be considered as lost and you will have the possibility to claim compensation from the airline for a maximum amount defined by the Montreal convention.