I've done it at the transfer desk. Show bag tag and onwards tickets/boardingpasses. Then they'll intercept the bag, retag it and deliver new bag tag to the gate.

Not sure if they can (know when to) withhold bags inside the system or if they also do retrieve bags from conveyor belt in arrivals hall. But I've had trips from Australasia to Sweden/Denmark, on single AY ticket on AY-coded flights where agents have not been able to check to final. One case bags were only checked to HKG - here I don't know if it was withheld inside or if they fetched it from arrivals hall - and one case where agent managed to check bags to HEL but not CPH. (AY systems and/or competence was limited to 2 legs...). In both cases HKG transfer desk handled it without breaking a sweat. And one was a short connection and they sent a runner to the gate with new tags as boarding begun.