We do this all the time to save people money, but we do advise them that if they are travelling on separate tickets and your inbound flight is delayed or cancelled, the inbound carrier is not liable to get you to your final destination. Checking baggage is not a problem as long as the carriers have interline baggage agreements. In this case, I would assume you're connecting to Emirates, PIA or CMG, and UA has agreements with all of them. All you would need to do is provide evidence of your onward journey to United at check in, and they will send the bags all the way through for you. The same should apply on your return journey (unless you're on CMG out of KHI - they won't through check to UA - although UA will through check to them.) They won't be able to check you in for the onward flight though, so you will have to check in at the transfer desk, where they will ask for your baggage tags and check you in.