LX and 4Z have an interline agreement and I have checked bags through from LX to 4Z previously. The only reason why this might not work is separate tickets.

If you manage to check through bags, you will not need to go through immigration but follow the international transit signs, which requires transfer passport control (need a blank page in your passport for this) and security check. Normally takes 5 minutes but there can be queues at transfer security during peak hours (just like at regular security).