Airline-type fellow here checking in.
Industry average MBR (for Mishandled Baggage Ratio or Reports, which includes not only delayed luggage, but also pilfered and damaged) can range from 1-10, depending on the carrier. The BTS keeps track of public data.
That number is per 1,000 enplaned customers, by the way. So an airline with an MBR of 5 will have 5 reports per 1,000 customers, or about .5%. Of that number, some are damaged and pilfered, the rest being delayed. Of the number of delayed bags, the number of lost bags (ie: those that are never found; including those lifted by unscrupulous airline employees, claimed off the carousel by other customers, fraudulent reports from customers, or some other crazy-ass scenario where a bag can actually disappear) is very tiny.
Airlines are very good about getting things where they need to go, whether they be people or bags (though not necessarily in a timely manner). An actual honest-to-god lost bag is very rare.
That said, there’s really not much you, as the customer, can do. Making sure the bag is uniquely identifiable as yours is a good step. Everyone has a black roller bag, and it’s possible someone might pick yours up. But it’s less likely if you have a huge pink scarf tied to it.
Putting a nametag on and/or inside your luggage is another good step to take. If a tag comes off of your luggage, the first thing airport employees will do is open it up to determine if there’s anything with a name or address inside. The more of these, the better.
It wouldn’t hurt to minimize the number of connections you make, either. I realize that this one may not be at all possible given your particular travel arrangements and budget, but if your primary concern is your baggage, consider that every stop you make is another point where your bag may potentially end up in dozens of hands and on dozens of belts.
Aside from that, there’s really not much you can do. Check it and hope for the best. Honestly, the chances of anything happening are statistically slim.