Yes, I've lost luggage a few times, but it's always turned up within a few days. Six weeks is an awfully long time for luggage to be missing. Do they have a tracking/baggage claim number? What are they telling you when you call the help line?
My sister told me there is a luggage/unclaimed baggage warehouse someplace in Alabama where people can shop/purchase items that were lost in the system. Makes me wonder about all the people who were missing those items.