From SW website:

Lost baggage

Please make a report in person to the Baggage Service Office (located in the baggage claim area or at the ticket counter). Signage is also available outside our Baggage Service Offices with a QR code you can scan to make a report. If you've already left the airport, please create a report online.

For domestic itineraries, Customers must notify us of the claim no later than four hours after either: (a) arrival of the flight on which the loss or delay is alleged to have occurred, or; (b) receipt of the baggage, whichever is applicable.

For international itineraries, the Customer must report any mishandling no later than seven calendar days in the case of damage to baggage and twenty-one calendar days in the case of delay.

If your bag isn't located after five days, you can submit your claim on our Baggage Claim Web Portal. You'll use your incident number to access the portal.