unless things have changed, if you check your bags to dfw, if you do not claim your bags in dallas, they stay there. you should do your whole checkin in mfe. check bags all the way through. i presume you are on a small plane, and mfe looks pretty small, but i have always done the full checkin at originating airport in usa. if they gate check your carryons at mfe, find out how you get them back before you get on the next leg.