You might have a problem. Well, two, actually.

(1) What you described, mainly skipping the last leg on the itinerary, is known as "Hidden City" or "Throwaway Ticketing". It's a common practise for many experienced travellers but it's frown upon by airlines. BA was actually making waves about this practise recently after, apparently, many UK travellers took advantage of relatively cheap business class tickets from Germany to HK and skipped the last leg back to Germany. It was said that BA was threatening to shut down Executive Club accounts and what not, but, I've never seen any official note on their site and never met anyone that an action was taken against him.

Since it's your first time doing it - I won't worry too much.

(2) If you'd like to collect your bags in LHR you need to have a really good reason way. For the check-in agent in Australia LHR is just a transit point, so, your bags need to go to OSL. The easiest way to do it is by creating a stopover at LHR - if the ticket rules permit - and scheduling the last flight a few days after. This way your bags will be tagged to LHR and your points will show up on your account before the last flight you wish to skip. Or, at the very least, try to put in an overnight layover at LHR so at least you'll have a good excuse to tag your bags to LHR instead of OSL.