When I flew EWR-LHR-VIE and LGA-YUL-FRA before, I was able to claim my bags at both LHR and YUL. Hope that LH would let me do it at FRA and NH at HND this time.

It seems that all I can do is taking all three bags out and re-check-in. Can I, like Lack said, drop two first then drop the last one after I finished my shopping?

The reason I don't want to get all three, especially in Frankfurt, is that I arrived in the early morning around 6, and ANA counters won't open until 3 hours prior to departure (flight departs at 11:30) . That means I will have to carry all three bags around for at least 3 hours before counter opens. Or is there any luggage storage at FRA?