Short of arranging a longer connection (which may involve the payment of change fees) or shipping your luggage ahead (which, itself, may be result in it becoming delayed or lost), there's not really anything you can do as a passenger to ensure your bags are transferred at your connection. They're supposed to be, and airlines generally do a pretty good job of it these days, but it doesn't always happen.
Which means the best thing you can do is to prepare for the possibility that your bag may not arrive with you. Carry a change of clothes. Pack essentials in your carry-on; never check medication, toiletries, electronics, or valuables. If you're traveling with someone else, cross-pack, with some of your items in their suitcase, for redundancy if only one bag doesn't arrive (though in the case of a tight connection, it's likely either all or none of your bags arrive). If your bags don't make it, sigh, file a report, and move on: you've prepared so it won't be a significant problem.
As Kate Gregory notes in comments, it's not unheard of to have the reverse problem: your bag makes the connection but you do not, especially if your flight is delayed. Preparing in this way means you'll have necessary supplies for your extended layover while you wait for another flight.
Beyond that, consider the worst-case scenario. For many trips, the worst that will happen if your luggage is delayed is you get tired of wearing your backup clothes until your delayed luggage arrives and you go to the nearest H&M or Primark to buy something new (for which reimbursement from the airline or travel insurance may be possible). Irritating, but not a huge problem. For other trips, missing luggage could be a showstopper: weddings without wedding dresses, backpacking trips without backpacks, film productions without cameras. Trips where you immediately head into the middle of nowhere or board a ship pose difficulties in arranging to be reunited with your luggage. If that's the case, plan ahead, allow extra time, and prepare a contingency plan.