tango is correct - regardless of what you do with the coupons the linear fare will be printed on all coupons. you can still get the records changed indivdully whch would serve your purpose of using the coupons as you wish. b/c each agent will just assume you have already done the previous segment in order since it wouldnt be in their record.

with regards to baggage - you can get them to short check the bags to LHR without any problems. just tell them you need them for a meeting (of course schedule the MAD flight for later in the day or the next day). you can alswyas reschdule the segment.