Unless it’s small enough to keep with you inside the bus, your luggage will be put on the roof, at the back or in a locked compartment underneath the vehicle. This is usually pretty safe, but it’s still worth keeping an eye out at each stop to make sure your bag isn’t carried off, whether by accident or design.
With better-organized companies you may be given a ticket with which to reclaim your luggage at the end of the journey. Some travellers like to chain their bags to the roof, and you shouldn’t be shy about climbing up to check yours if you’re feeling nervous about its security. Even if it’s under a tarpaulin on the roof or in a luggage compartment, it’s a good idea to cover your luggage with a nylon sack (which you can pick up in any market) to protect it from the elements and the prying fingers of other travellers.