Who are you buying your ticket from? Have you verified that your bags will be transferred between UA and Copa flights without you having to do so? If that's the case, Copa shouldn't be involved, but I would want to verify that with them directly. Have you phoned United and Copa? TAM shouldn't be a factor, but be prepared in case someone at the check-in or transit desk knows just how to read from their regs on domestic flight baggage allowances (we've run into that but got it straightened out each time). Copa vs. United setting the exact weight limits nd fees MAY be different from a Copa embargo on extra bags beyond the regular two allowed. If United has an interline agreement with Copa (they should) and will accept extra bags to transfer to Copa (you need to verify that), you seem in the clear. But you want to verify this, not just who sets the baggage weight allowances since an embargo could be black and white and not something the first carrier can overrule. You don't want to check in with UA and be told, sorry, we can transfer just two bags to Copa flights.

How much are you saving by taking Copa vs. someone else? Cheapest option on Expedia is American Airlines to Miami and TAM all the way from there (stops in Sao Paulo and Brasilia). Next cheapestis Delta to Sao Paulo and Gol from there. I assume you've looked into sending some items by ship. I moved to Brazil, too, and there's no way even an extra couple of bags wouldhave been enough for me.