Maybe it's just my imagination, but this does seem to take longer than it before. Last year, I could buy some bitcoin from Coinbase and transfer it to my Mycelium bitcoin wallet and it usually took just a few minutes. A couple weeks ago, I bought some more bitcoin from Coinbase and transferred it to my Mycelium wallet and it took over 3 hours before it showed up. I was getting worried for a while there.
Look at
http://bitcoinexchangerate.org/feesThat will telll you all you need to know.
When the blue line on the chart goes above 10
3 then you need to put the highest fee on your TX that your wallet will allow. If you do the math you can fine tune your fees better based on the chart... but you should always check the chart as long as we have a network spammer on the loose.