If you are to overnight check your bags, you'll have to get it done at LHR check-in, because AY won't let you collect and re-check again at HEL after 21:30 the night before as outlined here. (Unless they are lenient, never used this service)

You'll be going through Schengen passport control at HEL, but AFAIK there's no customs between EU countries and thus you don't need to declare anything. (Provided you are not transferring at LHR from outside the EU)