TK will most likely tag bags to final destination when on two separate tickets with only TK flights involved. This is normally not an issue with TK and had the destination been KUL, it was very likely.

However, as the ultimate destination is by a non-alliance partner you may not be able to persuade the check-in staff at origin to do it. It very much depends on the check-in staff, whether he/she will be prepared to go the extra mile for you, so quite difficult to predict in your case.

It might be easier to achieve if you ask at check-in for the bags to be tagged to KUL (rather than MEL) i.e. you have to collect the bags at KUL