Moderator, Iberia Airlines, Airport Lounges, and Ambassador, British Airways Executive Club
Join Date: Feb 2010
Programs: BA Lifetime Gold; Flying Blue Life Platinum; LH Sen.; Hilton Diamond; Kemal Kebabs Prized Customer
Posts: 63,766
Welcome to Flyertalk and welcome to the BA forum Jh1978.
For plannng purposes you have to assume the bags will be labelled to LUX. Stations vary a bit, but places like ORD, LAX and LAS won't budge on that one, unless your return involves an overnight stay in London. If you don't continue your connection to LUX then you can ask for them to be returned in LHR, and typically after an hour's wait or so they will come back to you there. It's still important not to put anything valuable in the bag(s) since there is a small chance the bags will somehow end up in LUX, where you will then have to make arrangements to recover the bags, but that's an unlikely outcome.
Generally it's best to fulfill all the legs on your flights to avoid complications, anything else has a hassle factor of sorts. If the flight is someway off the chances of cancellations or timing changes may work to your advantage.