I've been through this 2 times in the past. My experience:
1. Keep the original ticket, bag stub, and most importantly the PIR (the "Property Irregularity Report" created by the airline or the ground handling firm when you tell them you have not received your bags). If you don't have a PIR, you need to check why not.
2. Tell the airline that you need the bags or you need to buy clothing etc. See if they agree to reimburse your expenses (they will not agree initially, but they eventually do agree)
3. Go shopping!! Keep all the bills.
4. Submit them to the airline highlighting your plight and the fact that you're stranded in a strange city (not your home) without clothes, shoes etc. and that you needed to buy stuff for your survival.
Hopefully the airline will reimburse the actual costs of shopping. It's easier if you're a Premium member of their FFP program, or were flying business class. But I've had BA
reimburse expenses (they authorized Rs. 2500/day until the bags were found) even when flying discount economy, and not being a member of their FFP. Ditto with EK
when flying Business (this was not me, but my uncle)
In addition, check with your credit cards. Most Gold credit cards in India offer lost (more than 48 hours), and delayed baggage (more than 6 hours) insurance cover, and I've been able to get my bills reimbursed via the card company as well.
All the best!