Good luck - I had LHR CPH NRT in J on two separate PNRs and they wouldn't through check my Tumi. NRT CPH LHR on two separate PNR's and they did through check.

In your case they may not be able to issue you BKK PEN boarding pass but if it's all ont he same PNR you can through-check the bags. Just go to the transfer desk in BKK and pick up the boarding pass. You can even send an email to your Pandio manager in BKK and he'll have one of his girls meet your flight and escort you. I remember once having all these TG girls in these colourful outfits and two SK girls in somber blue and you know they looked so smart and professional. Absolute angels too because I was connecting onto Bangkok airways with less than 30 minutes to spare and they got me checked in and to the gate on time.