Depending on what airlines you're flying, you can also hand the check in agent at your point of origin both tickets and have them check your bags onto your final destination. I've done this several times with CO/CX and CO/KA combinations. I have had to go to the CX desk and get my onward boarding pass, but I didn't have to bother with clearing immigration, reclaiming my bags, and reclearing security/immigration.
Scott