Having completed the "Innocence Lost" quest, I immediately fast traveled to my house in Whiterun and slept for 1 hour, the kidnapping took place straight away, there was no delay.
It has been noted on the wiki that:
If the courier doesn't appear after waiting a few days, sleep in a bed
for at least 8 hours and the quest will continue.
- Sometimes this can take several days, even with sleeping.
- If the courier still does not appear, try fast traveling to a different hold and waiting.
- Sleeping for at least 8 hours is not necessary. 5 hours continued the quest. (PC) 1 hour continued the quest. (Xbox 360) 1 hour worked
Just keep wandering around a different town and waiting until the courier arrives, it's been suggested this can take many days in game.