Bags SHOULD check straight through, but hang on to your baggage claim check just in case. The last time I went through CDG, the gate agent for my connecting flight informed me that they couldn't find my bag. I switched seats and was given a new BP. Being a complete idiot, I threw my old BP away even though it had the baggage sticker on the back. After having a near-mental breakdown, frantically calling the skymiles hotline, and boarding the plane, the GA came onboard and told me they found it. Whew!

Needless to say I learned my lesson.