If you checked your luggage at departure and you are changing planes in ORD (Chicago), as long as you're on the same airline, you shouldn't need to fetch your luggage. Confirm with the airline, of course, since errors do happen.
If you're changing airlines (e.g. from AA to Delta) you'll have to claim your bag at the carousel and then check it in again at the counter of the connecting flight. If you are carrying a firearm in the baggage, be sure to declare it at the counter, per FAA rules. If you have any trouble with airport security, showing them your flight itenerary and the stub (if any) from your originating flight will prove you are a traveler "in transit" through ORD.
Where you could possibly get into trouble is if your connecting flight fails. That is, you've arrived on time, checked your baggage and the aircraft suffers a problem that ultimately cancels the flight.
In this case, if the airline can book you on another, later flight to your destination, have them do so. In some cases the airline will offer passengers free hotel accomodations in a nearby airport hotel. This is dicey, for if you do stay, it can potentially open you up to prosecution - especially if you end up needing to use the firearm in self defense.
If the airline wants to put you up in a hotel, insist that they book you onto another airline. Failing this, ask for the customer service manager. Explain to him that staying in a hotel is not an option and why. Inform him the airline's failure puts you in legal jeopardy and that you want resolution. Usually a CSM knows how to get around red-tape and/or can get authorization for "special cases". If you're not satisfied, keep asking for the next level representative. If stonewalled, demand to speak to the operations manager (he hates to be bothered) which usually gets things moving.
