Im always scared about that too.
I pack a carry on with things that I wouldnt be able to do without, such as my makeup in a zip loc bag, hair straightner, a change of clothes and undies and shampoo and conditioner and body wash.
That way, if my bag doesnt make it, I have the essentials for a night or two.
Also, put a tag on your bag for your address back home.
That way, even though it isnt with you, you'll have your suitcase and its things at home.
Also, dont bring along your laptop or other electronics unless its going to be with you at all times.
People will go through your suitcase and steal shit.
I dont know if its the same, but I worked as a hotel room cleaner... and believe me.
Some of the women I worked with who cleaned rooms also went through suitcases and things like that to be nosy and to stake out things they wanted to take.