I don't worry about it much. It does happen, but so do lightning strikes.
If it does happen to you, its probably best to shrug, eat the loss of money, and be glad you aren't being charged with something. Odds are high you would spend more money trying to get your money back than you would get back, assuming you got anything.
A few years ago, I got a counterfeit $50, from my BANK! Never realized it. Couple days later, I paid a friend for some work with it. Day or three later, when she went to spend it, the store caught it. Guess who was out the 50 bucks?
She was, because she still had to pay the store. I was morally obligated to pay her back since she got it from me. I might not have been legally obligated, I don't know, never bothered to find out, and even if I wasn't $50 wasn't worth screwing with out friendship.
And you know, silly me, I didn't write down the ser# of the 6 $50 bills I got from the bank that day, nor did I have the teller countersign the list, so, no proof I got the bad bill from the bank, of course. The bank did say they will check them all closely, from now on....
Bottom line, unless you (or they) spot a phoney bill right at the moment they hand it to you, you have a tough time proving where you got it. If you buy a gun that is legal (cold), and later turns out to be hot, expect to be out whatever you paid, and, of course, the gun too.