My experience - admittedly a couple of years ago - of arriving in JNB on BA and transferring to SAA for their Airlink flights to Swaziland or Lesotho was that through baggage does not work, so I had to immigrate into SA (long queue in the morning when lots of flights arrive, but at least it's free), pick up the bag, take it to SAA desk and drop it off even though I had already checked in, and back through security and emigrate...