As long as you arrive before the checked luggage cut off time (45min SH and 1 hour LH) you can always go landside and check luggage at the checkin/bag drop desks. I'm not sure if you can check luggage "in transit". I have seen bag drop desks near the CS desks at T5 but these might just be for courtesy bag drops for full flights.

For reference, I've flown from MAD to LHR, went home to make my bag and checked in a bag at LHR for my LHR-KUL flight. Everything was one ticket. (MAD-LHR-KUL).