Welcome to FT!

When on separate tickets, you proceed through immigration and pick-up your checked bag(s) at OSL. Then you proceed through customs to the arrivals hall and take the main escalator upstairs to SAS check-in (kiosks/baggage drop or check-in counters) for your onward domestic flight to BGO; not the end of the world.

Also when on a single ticket you enter Norway at OSL and walk through customs. Admittedly, you don't pick-up your bag(s) at the luggage belts and you will be able to proceed through the special domestic transfer points, including customs clearance provided that you have a boarding pass for the onward domestic leg. You can try to persuade LHR check-in staff to tag your bags to BOG but presumably it will be denied.