It happens... If it does, here is a step-by-step guide for what to do, written by one of our teachers who had the pleasure of this experience....
If you arrived in Saudi Arabia on any other airline BESIDES SAUDIA you need to go to the North terminal. That is the international terminal.
However, if you arrived on Saudia airlines you must go to the Saudi terminal.
1. If your bag does not show up on the carousel you need to go to the desk at the end of baggage claim with your baggage sticker. There you will receive a claim ticket that you have to keep in order to get your bags back. Also, be sure to keep your baggage claim stickers from when you originally checked your bag at departure.
2. You should get a text message when your bags have been located. Unfortunately you’ll need to go to the airport to get your bags. They won’t be delivered to your apartment.
3. When you go to the airport (again, for Saudia arrivals ONLY) park outside the South terminal.
4. Go in the arrivals door and look for the information desk. They will point you in the direction of two sliding glass doors that have “do not enter” posted. Go right ahead and walk straight in and head to the Saudia baggage desk.
5. Show the person who is helping you your phone with the text message you received. That person will give you a stamped paper.
6. Take the paper all the way across the lobby towards the baggage claim. As you face the baggage claim exit you will need to go all the way to the left to a small office with soldiers.
7. Hand the soldiers the paper you got and walk down the hall through the door into the baggage claim.
8. Return to the desk where you originally reported that your bags were lost. Hand the person your claim ticket as well as any baggage label stickers you have.
9. Having found your bag(s) they will bring them to you.
10. Exit the baggage claim like normal which includes scanning your bag(s) near the exit.
Good luck!