In addition to cx_mpo's answer, may I add that it is suggested that you staple the MCO coupon to the front of your existing coupon of the BA ticket. If it is a return flight, make sure that MCO coupon 1 is attached to the BA sector and the corresponding coupon attached to the other BA flight if any.

You must retain all boarding pass and relevant info from CX as the BA booking class is booked in U class and from experience, one must process the credit of this flight manually when crediting to any other FF other than Asiamiles!

AA should be able to see the corresponding booking on their check-in system and should be able to check you through.