Security rules for US bound flights have changed the process -- you really cannot interline baggage bound for the US without have proven ticketing. So a PNR number or "official looking receipt" will not do it. Must have paper ticket or IB able to access your e-ticket (which the cannot do today for any airline). The described procedure in the previous post was valid prior to the security rules changing and may be valid for some countries, but not for US. And if the threat level goes up all baggage must be checked separately at the departing airport (presumably that means no interlining is allowed at all). So best to plan your trip (connecting times and type/amount of baggage you have) based upon not being able to check it through to the US.