I travelled from BHX to KUL to LGK with the last leg being on Malaysia airlines and the first part on EK. I had to collect my baggage at KUL and check in again for the LGK flight even though everything was booked on one itinerary. It didnt bother me though as it was a quick experience and not much of a fuss so you should be ok if this is what you end up doing.

Also had to do the above on the return journey.