There is no problem to check in your bags all the way down to USM. I did it on several occassions - just make sure that you have printed copy of your ticket for BKK-USM flight. Once when you arrive to USM you will be directed for separated baggage belt to go through customs channel.
It happened even once that when I was transitting in Dubai I was given boarding card for my BKK USM flight while boarding DXB-BKK flight.
Just make sure that you inform agent during check in that you need your bags to be tagged for USM.
Enjoy your time in USM - it is great place.