I assume you purchased your tickets on line or by phone and just have not received them in the mail. The tickets should arrive no later than about two weeks prior to your departure. If you do not get them by that time, call Amtrak reservations and find out what’s up. They may have coded them for station pick-up. Amtrak has been known to foul up on ticket distribution.
Lincoln NE offers checked baggage service, so if you are carrying more than one or two standard “carry-on” sized bags, I would check the larger ones through. If, however, you only have minimal luggage, carry it on with you and save the hassle. If you are checking bags, get to the station at least 30 minutes early. The one and only baggage clerk can get pretty busy as train time nears. Checked baggage on Amtrak is a decidedly low-tech operation.
The only “security” issues are a check of a photo ID by the ticket agent (if you get your tickets at the station) and a possible ID check on the train as your ticket is lifted. There are no baggage checks, but the size and weight of all bags is being closely scrutinized, so check the Amtrak requirements
here.
The eastbound California Zephyr, Amtrak Train 6, is notoriously late. Several hours late is not uncommon. I would suggest checking the Amtrak web site or calling Amtrak reservations to check the status prior to leaving for the station. The train is scheduled to leave Denver at about 7:30 mountain time (8:30 central time) the night before. Most of the delays encountered by the train occur between California and Denver. Checking train status the night before may save you hours of waiting at the station in Lincoln. Find out how late the train was when it departed Denver. Allow for the possibility that it could make up some time, maybe up to an hour or a little more. If it left Denver 90 minutes late, I would assume the possibility of a nearly on-time arrival at Lincoln (not at all probable, but I would not take the chance of a miracle). But if it left Denver four hours late, then I would assume no less than two to three hours late at Lincoln and catch a little more sleep.
Enjoy your trip and stop back here with any questions or a final report on your experience.