In 1976, Ford won Iowa, New Hampshire, Massachusetts, Vermont, Florida, and Illinois before Reagan won his first state; North Carolina. The campaign ended up going all the way to the convention before a critical error by Reagan (trying to appease the moderates, thus alienating the conservatives) handed Ford the nomination on the first vote.
While I'm a bit anxious, I won't start getting real concerned until after Super Tuesday, which is still six weeks out.