SFAIK you should have filed a PIR (Property Irregularity Report) at the airport at which you arrived and your luggage didn't. If you didn't do that then I don't know what the procedure is. For a start I suggest you go to or contact your nearest Gulf Air Office with the baggage tag that was stuck onto your ticket or boarding pass when you checked in. Compensation is payable to buy basic necessities like washing kit and clean underclothes but how much and how you get it depends on the airline. Good luck!