In the past number of months, I've become aware that a number of women I know (and their husbands) have experienced recent, or not-so-recent, miscarriages. My heart has been hurting to know what to say to them and how to say it. Then yesterday I stumbled across a post on 
Mercy Journeys with Pastor Harrison, the blog of the director of 
LCMS World Relief and Human Care. His is one of the blogs I love to read, and the post, which is mostly the text of a short item written by Luther, is a real gem. I'm only including the Luther text, but please head over to 
Pr. Harrison's blog to check out the full post. I hope you enjoy it, and if you have experienced this heart ache of losing an unborn or born-but-not-yet-baptized little one, I hope you are comforted by it.
COMFORT FOR WOMEN WHO HAVE  HAD A MISCARRIAGE
  A final  word1—it  often happens that devout parents, particularly the wives, have sought  consolation from us because they have suffered such agony and heartbreak  in child-bearing when, despite their best intentions and against their  will, there was a premature birth or miscarriage and their child died at  birth or was born dead.
   One ought not to  frighten or sadden such mothers by harsh words because it was not due to  their carelessness or neglect that the birth of the child went off  badly. One must make a distinction between them and those females who  resent being pregnant, deliberately neglect their child, or go so far as  to strangle or destroy it. This is how one ought to comfort them.
   First, inasmuch as one  cannot and ought not know the hidden judgment of God in such a  case—why, after every possible care had been taken, God did not allow  the child to be born alive and be baptized—these mothers should calm  themselves and have faith that God’s will is always better than ours,  though it may seem otherwise to us from our human point of view. They  should be confident that God is not angry with them or with others who  are involved. Rather is this a test to develop patience. We well know  that these cases have never been rare since the beginning and that  Scripture also cites them as examples, as in Psalm  58 [:8], and St. Paul calls  himself an abortivum, a misbirth or  one untimely born [I Cor. 15:8].
   Second, because the  mother is a believing Christian it is to be hoped that her heartfelt …  and deep longing to bring her child to be baptized will be accepted by  God as an effective prayer. It is true that a Christian in deepest  despair does not dare to name, wish, or hope for the help (as it seems  to him) which he would wholeheartedly and gladly purchase with his own  life were that possible, and in doing so thus find comfort. However, the  words of Paul, Romans 8 [:26–27], properly apply here: “Likewise the  Spirit helps us in our weakness; for we do not know how to pray as we  ought (that is, as was said above, we dare not express our wishes),  rather the Spirit himself intercedes for us mightily with sighs too deep  for words. And he who searches the heart knows what is the mind of the  Spirit,” etc. Also Ephesians 3 [:20], “Now to him who by the power at work  within us is able to do far more abundantly than all that we ask or  think.”
  One  should not despise a Christian person as if he were a Turk, a pagan, or a  godless person. He is precious in God’s sight and his prayer is  powerful and great, for he has been sanctified by Christ’s blood and  anointed with the Spirit of God. Whatever he sincerely prays for,  especially in the unexpressed yearning of his heart, becomes a great,  unbearable cry in God’s ears. God must listen, as he did to Moses, Exodus 14 [:15],  “Why do you cry to me?” even though Moses couldn’t  whisper, so great was his anxiety and trembling in the terrible troubles  that beset him. His sighs and the deep cry of his heart divided the Red  Sea and dried it up, led the children of Israel across, and drowned  Pharaoh with all his army, etc. This and even more can be accomplished  by a true, spiritual longing. Even Moses did not know how or for what he  should pray—not knowing how the deliverance would be accomplished—but  his cry came from his heart.
  Isaiah did the same against King Sennacherib and so did  many other kings and prophets who accomplished inconceivable and  impossible things by prayer, to their astonishment afterward. But before  that they would not have dared to expect or wish so much of God. This  means to receive things far higher and greater than we can understand or  pray for, as St. Paul says, Ephesians 3  [:20], etc. Again, St. Augustine  declared that his mother was praying, sighing, and weeping for him, but  did not desire anything more than that he might be converted from the  errors of the Manicheans  and become a Christian. Thereupon God gave her not only what she  desired but, as St. Augustine puts it, her “chiefest desire” (cardinem desideriieius), that is, what she  longed for with unutterable sighs—that Augustine become not only a  Christian but also a teacher above all others in Christendom. Next to  the apostles Christendom has none that is his equal.
   Who can doubt that  those Israelite children who died before they could be circumcised on  the eighth day were yet saved by the prayers of their parents in view of  the promise that God willed to be their God. God (they say) has not  limited his power to the sacraments, but has made a covenant with us  through his word. Therefore we ought to speak differently and in a more  consoling way with Christians than with pagans or wicked people (the two  are the same), even in such cases where we do not know God’s hidden  judgment. For he says and is not lying, “All things are possible to him  who believes” [Mark 9:28], even though  they have not prayed, or expected, or hoped for what they would have  wanted to see happen. Enough has been said about this. Therefore one  must leave such situations to God and take comfort in the thought that  he surely has heard our unspoken yearning and done all things better  than we could have asked.
  In summary, see to it  that above all else you are a true Christian and that you teach a  heartfelt yearning and praying to God in true faith, be it in this or  any other trouble. Then do not be dismayed or grieved about your child  or yourself, and know that your prayer is pleasing to God and that God  will do everything much better than you can comprehend or desire. “Call  upon me,” he says in Psalm 50 [:15], “in the day of trouble; I will deliver  you, and you shall glorify me.” For this reason one ought not  straightway condemn such infants for whom and concerning whom believers  and Christians have devoted their longing and yearning and praying. Nor  ought one to consider them the same as others for whom no faith, prayer,  or yearning are expressed on the part of Christians and believers. God  intends that his promise and our prayer or yearning which is grounded in  that promise should not be disdained or rejected, but be highly valued  and esteemed. I have said it before and preached it often enough: God  accomplishes much through the faith and longing of another, even a  stranger, even though there is still no personal faith. But this is  given through the channel of another’s intercession, as in the gospel  Christ raised the widow’s son at Nain because of the prayers of his mother  apart from the faith of the son. And he freed the little daughter of the  Canaanite woman from the demon through the faith of the mother apart  from the daughter’s faith.10 The same was true of the  kings son, John 4 [:46–53], and of the paralytic and many others  of whom we need not say anything here.