Just call Qantas to ask them to please add your CO or AA # to your reservations. The miles will post automatically a week or 2 after each flight.
If you want HHonors points, go AA, which converts directly to HHonors without involving Amtrak. However, if you want a free Marriott room night or 2, credit to CO, then convert to Amtrak, where you can get an Marriott Flex free cert for 10K miles each. Warning: Valid only at certain Marriotts, some of which are better than what you'll get for 20K HHonors points

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Qantas does flip me out by pronouncing the non-existent U.

KWAHN-tuss.