Well, dont be tempted by the assurances it (was) is located in the computer. Insist on putting it in writing by filling up the appropriate forms as Bealine says. If it is not done within 7 days, and your baggae doesnt eventually turn up, the airline (and I am speaking of the law here, not any specific airline), can legally wash their hands off as,if there is no written record, your baggage is assumed to have arrived on time!
I do not know how many airline staff may be familiar with the applicable rules and deadlines and I do not doubt their sincerity when they say a complaint is not necessary, but as we all know when a compensation request is procedded with, it is usually the legal chaps in the airline who deals with it.
Cheers