I don't think you can guarantee that bags will be short checked unless you have an overnight stop in LHR......they might do, but you can't plan for this. The best thing to do would be either to travel HBO and drop, but if not possible completing the final segment and booking the OSL-LHR would be the best option IMO.

You could at a push always just leave at LHR and let the bag run it's course, which should be nowhere as you won't be on another flight. You can get the bag back, but is believed to be a right faff. Others will be able to explain that process better.