If it's all on the same itinerary, your bag is checked through to the final destination. If it's not all on the same itinerary, you can try to convince an agent to check it through to the final destination. I was flying MSP-CVG-MCO and MCO-ATL-DTW on two separate itins, and the DL agent was able to tag my luggage MSP-CVG-MCO-ATL-DTW. (Your luggage travels with you on each plane, so bear in mind that every plane change increases the likelihood of it misconnecting.) I went to luggage services immediately upon my arrival to DTW just to make sure that my luggage came in on the same flight I did, and not that it was stranded in MCO or something.