Was successful (June '11) checking baggage DXB-JFK via DXB-LHR on EK and LHR-JFK on DL. Luggage arrived safely, with 3h connection at LHR.
EK also printed an LHR-JFK boarding pass, but the Delta gate agent at LHR reprinted on Delta paper to make the computer happy, and then repeated the usual visa & did-you-pack-your-luggage questions.