While I have not transitted via LHR on to a QF flight I have done so at SIN, HKG and FRA.
Each time the origin station (LHR (BA), CMB (CX) and HKG (QF!)) has been unable to issue me with the connecting boarding pass on QF. No-one has ever given me a satisfactory explanation - just that the system won't let them. At SIN and HKG the transfer desk were able to sort me out, but at FRA I had to go landside and wait for the QF check in desk to open! Hopefully at LHR the flight connection centre can help you out.
However, through checked bags was not a problem on any of three trips.
[This message has been edited by Swanhunter (edited Dec 02, 2003).]