You need to book two separate tickets. One which is a HBO fare and the other which isn't. The non-HBO can check a bag and the HBO won't be able to do so.

flatlander is correct is the sense that HBO and non-HBO fares can't be combined on one ticket whether just for one person (so you can't do HBO out and non-HBO back), or across two people as in your situation.

To pre-empt your next question, if one of you is gold you can't do a free seat selection across to the other booking - so if you get two separate booking with one HBO you may not be sat together.