An option would be to check the bag(s) under one of the adults so that on arrival that adult clears the UK border, collects the bag(s) and then rechecks it in whilst the other family members go the flight connections route and remain airside and clear UK immigration during that process. You can then arrange to meet back up in the departures area.

*bags - assuming that the number of bags is within the allowance of one person of course. If it is more than that then you might as well all just all go through immigration / bag collection etc together.