How great the risk of lost checked bag Iberia nonstop MAD to FCO

Before you leave the airport in Madrid, check baggage claim and make sure they didn't unload it there and that it's actually checked through to FCO. I had an overnight stop in Dublin on my way to Paris a couple of months ago and they swore my bag was checked to CDG and there was no way I could pick it up in Dublin. My gut told me to check baggage claim, and there it was with the CDG tag on it. I'm pretty sure that it would have not made the CDG leg with me the next morning. I also put a piece of paper inside on top of everything with all my info, where I'm staying, and cell # just in case it does go somewhere else. Enjoy your trip!

Great advice. I wonder if I could just pick it up on arrival at MAD, store it in a locker and then re-check it the next morning for the direct flight. Then I'd know it got checked in for the MAD-FCO flight, although it would be easier to not have to do that.

I have little risk of losing a bag, because I simply refuse to check any luggage on any airline anywhere I go. Now, we travel light--and use Rick Steves' packing list with minor changes. Traveling light allows us to use the budget airlines without their ridiculous luggage charges.
The world is now so international that most tourist purchases can be bought in the U.S. at far less cost than in Europe. We simply don't shop for anything but tiny items that we can carry back in the luggage.

It would be worth asking. They told me when I checked in that there was no way I could due to safety regulations which is why I was surprised I saw it at baggage claim. I also might have not talked to somebody that knew the rules very well. Good luck.

Somebody get David his 'Rick Steves Travlin' Light' badge! We don't all have the same interests or lifestyles so sometimes a carry on isn't going to work for everyone. I travel internationally a handfull of times a year and sometimes I can do it, and sometimes I can't ...and I hate shopping.

I think it is best to check it point tp point..pick it up in Madrid if at all possible. If not, be sure to use TSA locks on all checked bags. It may not be possible to check it all the way thru to FCO. Call your airline and ask.