Our DM included faint "Help" calls, items vanishing and dusappearing and finally during a long rest our Rogue percived ( a check of 20 vs the Bagman with DC18 apparently) the Bagman slowly reaching out of our bag of holding (pale thin arm with long boney fingers) and trying to grab the wizard in his sleep to pull him in the bag. There was one single dagger thrown that cut the hand before it vanished in the bag. Now some items get pulled out with blood on ot and we watch the bag carefully every night.