I would, while it is still fresh in your mind, make a list of everything you packed in that bag. Try to remember to the best of your recollection approximately what you paid for each item and when it was purchased. Also don't forget the bag itself. It is unreasonable to expect that you would have a receipt for every single item!
I believe the airline has 60 days to find your bag before declaring it lost. You'll have to wait until then to file any sort of loss claim. In the mean time work on your list and call JetBlue every few days to see if there's any word on the whereabouts of your bag. You were on a non-stop flight to Phoenix so it either never made it out of JFK or was loaded on the wrong flight and is somewhere else.
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