I recently checked baggage through from United to Air NZ on a SFO-LAX / LAX-AKL routing. UA Agent did it easily but it required all details of the Air NZ flight (Booking Ref, Class, Flight Info, Ticket #)

(I had to book two separate tix because I wanted prem econ on Air NZ and they won't sell it on United paper and AIR NZ won't permit the same day stopover in LA in its booking system. Oddly there was no problem for my business colleague who booked the same routing entirely on United paper into regular coach)

So when I reached LAX I only had to do the meandering trek from terminal 8 to terminal B without security re-screening. Yay!

However, when I reached the gate they called me up to check my passport (No Air NZ agent had seen it yet) and I happened to mention that I had through checked bags. She immediately asked me for the luggage tags and then had to call a supervisor to reopen the flight for more bags. So I guess you need to double check?

My colleague on United paper went up to double check after my experience and they said they already had his bags on the plane.