Byron,

It sounds like your going to a stop on the Empire Builder that offers checked baggage. If indeed I'm reading things correctly, before you board the Capitol Limited check any bags that you won't need at all in Chicago to your ultimate destination. You'll need to show both sets of tickets to do that.

However, by checking the bags to your ultimate destination, you'll avoid the hassle of moving them at all while in Chicago. The baggage department at your final stop will hold the bags for 3 days without any additional charges. After that they are supposed to start charging daily fees, but many have found that the stations fail to do that anyhow. But since you'll only be two days behind your bags, you're still well within the 3 day limit and would have no worries.

Just remember, don't put anything in those bags that you might need in Chicago as you won't see them at all in Chicago.

Alternatively you could let Chicago hold them, but Chicago is a big and busy place and personally I'd be a bit more worried about them just sitting around for 2 days there. Also it could take you a while to get them when you return to the station and then recheck them. Besides, you'd have the hassle of moving them from baggage claim to baggage check-in, which are not in the same place. In my opinion it's just easier to send them all the way to your final destination.