I lost my first plane into a swamp on its fourth flight - two hours of searching and avoiding spiders, snakes, and whatever else yielded nothing. It was only by chance that five weeks later someone was chasing their own lost plane that they could see stuck in the top of a tree, and found mine (sitting nicely on its wheels) at the base of said tree. Since then I've always used lost model alarms as a matter of course on every plane. The hobby shops here generally stock one that has the low voltage and lost signal alarms for about AU$15. These alarms have two leads with a male and female plug, and are connected between the receiver and an aileron servo, and have an extra feature such that if you turn the model on and move the aileron to full deflection within a second or two it checks the batteries. It will also start beeping slowly if you haven't moved the aileron in a few minutes, and get faster when it loses signal. Even better they seem to work fine with a 2.4GHz system.

I did find one problem with these units though - if you're using a Y adapter to drive two aileron servos from a single channel you must put the alarm AFTER the Y adapter so only one servo's fed from the alarm, rather than plugging the alarm into the Rx and the Y adapter into the alarm. For some reason connecting it the wrong way can cause the aileron servos to start dancing on their own when the engine's running. Of course, the better solution is to use separate channels for the aileron servos.