It is also worth asking at the check-in in OSL to have your luggage checked all the way to HKG.

A lot of airlines have interline agreements and will check your luggage through if you show them the second booking info. It should be fairly easy when airlines codeshare [KL/CZ].
Last time I've done this was on UA>UA>US>US [one one ticket]>AZ [second ticket] and had no problems. Bags made all five flights

Also, it helps if you hold status with the [first] airline/alliance or travel in high class.