normally you check in with the first carrier and fingers crossed you should be able to check in for all flights and get all your BP for connections.

However...... it doesn't always work online, but normally, the agent at the first airport should be able to print all BP. 100% success for me for agent being able to do so, say 50% online.

Also, sometimes AA at LHR, if on connection from Europe, like to have you physically check in with an agent at LHR - I have been stopped by the security agent at the gate four times out of six, just for additional security questions and have been told that this was because I didn't 'see' an agent at LHR. However, I think this is unique to LHR.