Didn't lose it, but on two flights I arrived and the bag did not. At least not until several flights later. Most recently I had this happen on American. The safest thing to do is get your firearms added to your home/renters insurance if you haven't done so already. I'm not sure what, if any, the airline covers. I secure the case holding my weapons to the suitcase in such a way that you basically have to take the entire suitcase to get at the gun. But after that, there's not much you can do.
Incidentally, my experience has been that most bags that are stolen are actually swiped by other passengers or bag scavengers at airports. When I arrived at my location and my case did not, the baggage folks for American advised that it would probably show up on the next flight from that city. That flight wasn't scheduled to arrive for another 3 hours, roughly 1230am. They gave me the direct line for their office (I told them I had a weapon in the bag) and told me to call tomorrow. I said "no thanks - I'll wait" and did just that. In that time, several bags came in for passengers from my and earlier flights. Those bags were stacked outside the office and at any point I could have walked out of there with a full set of Tumi luggage. No one person policed the baggage and it wasn't until close to midnight (shut down time) when they started pulling bags into the office. The 1230 flight arrived and my bag (with gun) was on it, but a lucky thief could very well have walked off with that bag and the airline would never have known...
