If you booked your air travel and/or transfers with the cruise line, you should see a cruise-line representative holding a card with the name of the line either when you get off the plane or at the baggage area. Check in with this person. If you are on a pre-cruise package, the details of what to do at the airport will be described in the cruise line's brochure.
When you arrive at your gateway airport, you will be asked by a cruise line representative to identify your luggage, which will then go straight to the ship for delivery to your cabin. It won't necessarily go in the same bus as you, and it may not (almost certainly will not) be waiting for you when you board, but it will arrive eventually, have no fear.
You'll have to turn over to the bus driver the transportation voucher you received with your cruise documents, so do have it handy.
If you're flying independent of the cruise line, claim your luggage at the baggage area and proceed to the pier by cab, train or whatever other transportation you have arranged.
Photo Gallery of Airport Arrival For Cruise Travel
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And again, remember to put the luggage tags provided by the cruise line on your bags at this point if you haven't already, because when you get to the pier your bags will be taken from you by a porter for loading onto the ship. The porter who takes your bags may expect a tip of $1 per bag (some will be more aggressive than others in asking for it).
Where's My Luggage?
Don't panic if your bags aren't in your cabin when you arrive: Getting all the bags on board is a rather slow process on big ships, as many as 6,000 bags need to be loaded and distributed. If it's close to sailing time and you're concerned, call guest relations or the purser's office. If your luggage really is lost rather than just late, the cruise line's customer-relations folks will track it down and arrange for it to be delivered to the ship's first port of call.