The way it works in the U.S., which may also be the way in works in Brazil, is that you pick up your bag at your point of entry because from there on your flights will be domestic and you won't pass through customs. After entering the country via customs and immigration, you proceed to a baggage re-check desk - usually right past the exit from customs - where they take your bag and put it on your connecting flight, using its existing tag.

That said, the only time I entered Brazil my flight went directly to Rio, which was my destination, so I don't really know the answer. I've asked a moderator to move this thread to the Brazil form, where you're more likely to find people who know how things work there.