Hi Kimmo,
If the school uses an online system for applications and letters then you shouldn't have anything to worry about as your letters would be matched in the system with your application. If your letters are being sent by mail, then the department (or grad school) would (or should) keep your letters as well as any other application material (such as GRE scores) and then match them with your application once it arrives. Of course, since this scenario is a manual process, there is always the possibility, no matter how small it is, that something could get lost, so it is always recommended that you, as the applicant, follow up and try to get confirmation (if possible) that your documents have been successfully received and paired with your application. Some schools will have a website where you can check to see if they've received your materials, in other cases you will probably have to email and/or call. It's best to follow up as soon as you know when something has been sent, rather than wait until close to the deadline, because at that time, departments will probably be so busy that they may not be able to respond to your queries. Good luck!