The goal: Book a one-way international flight to HONG KONG from ORD (CHICAGO). I live too far from Chicago, so I must take a small connecting flight from the nearest airport SPI (Springfield) to ORD.

Pretty straightforward.

I immediately noticed (I'm using Kayak) that using "SPI" in the "From" field (and HKG as destination) yields a plethora of American/Delta carriers and flights. I can go from SPI-ORD-HKG all in one booking. That's fine, except I only want to fly Korean Air or some other asian airline (Japanese). It's more expensive but worth it to me. ....and this is where I get confused.

No asian carriers originate from SPI (obviously, as it's a local airport). So I'll have to book my SPI-ORD flight separately from the ORD-HKG flight. Does this mean that once I land in Chicago, I'll have to go claim my luggage, then go through security again, hit the Korean Air terminal and re-book my luggage? Or is there a way I can "connect" these two flights so they know to automatically get my luggage and put it on the correct flight so I don't have to go through security and luggage and all of that?