I don't think you have to worry about the Conquest. Its the only Carnival ship in the port on sailing day. So if you are flying in, the carnival baggage guys really don't have a way to screw that up. But as Cruiseman said, the airlines are more likely to "lose" a bag, so bring a carry on with a swimsuit and a change of clothes and anything you may want right away as the luggage may not get to your cabin until 6 or 7 PM the first day.
If you are driving to the ship, the chances are zero because you drop you bags off in front of the ship you are getting on and there is no other palce for them to go...
Carnival Cruise Lines:
Fantasy 90, Celebration 95, Victory 05, Conquest 05, Spirit 6/06, Freedom 6/08, Holiday 7/08, Victory 6/09, Valor 9/09, Dream 6/10, Splendor 8/10,Conquest 8/11,Magic 11/11,Triumph 4/12,Spirit 7/12,Freedom 11/12, Triumph 2/13 - The fire cruise
NCL Dream October 2006, RCCL Mariner OTS June 2007