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If it is a single itinerary booked all at once then CO should be able to tag the bags all the way through, assuming you are flying through to CGO without stopping in PEK for any significant length of time. If you have a stopover in PEK then you're subject to the policies of China Southern; I don't know what they do and do not permit in this regard. I know that CO would consider it a domestic flight and charge you but that's not particularly relevant.