Actually, if the location where the swarm landed isn't too high up and/or is fairly easy to get to, I like to leave the queen pheromone on the tree/location. Then when I lose the next swarm, I know there is a good chance that they will go back to the same location the last one did, so that is the first place I check.
And I now use the "queen includer" when hiving swarms for the first few days. You just have to have a newly hived swarm abscond on you once to learn to put the "includer" on until they get settled in. The frame of brood trick is a good one as well.
Linda D. in OKC