I've done it on AA - TATL and domestic - following a BA flight. I've checked a case in the US containing duty free bought at LHR, following a LH BA flight. I've also done the first bit of ex-EU HBO on BA, been home for the night and then turned up at T3 the following morning with bags to check on a AA flight. It has never been a problem. It's only an issue the other way around - i.e. not wanting to check the bag to the final destination.