I've been doing this for several years, usually on trips between the US and Europe with a LCC as positioning flight. My advice is to have 5+ hours at least between flights - specially if its a TATL. Avoid doing this during winter if possible, snow storms are very likely to wreak havoc with very short notice and little time to change schedule. Several major airports (EWR, LHR, MAD,...) have cheap hotels nearby, and spending some 60USD/EUR and getting plenty of time to make the connection on the following morning is priceless

Usually you can get your bags sent to the final destination even on different PNR's / alliances, most airlines have agreements allowing this, just ask during check-in.

As others pointed out with different PNR's you'll be out of luck if something goes wrong. But, at least with AA (as PLT), I've been waived fees on a couple of occasions (due to weather and due to getting late on the check-in counter!), with two AA PNR's (paid and miles). They also allowed on two occasions to merge two paid PNR's into one, as usual YMMV.