I don't mean to sound facetious, but it's probably best to book travel all on one ticket, according to your actual intended final destination, rather than making a habit of booking separate tickets. You're lucky that you seem to so frequently have the first airline acquiesce to your request to check bags through, but as you can see, bags can and do go missing when on travelling on separate tickets; the second airline has no notification that a bag is in transit to them, because as far as they can tell you are originating in Amsterdam - the only ticket they know of has you simply flying AMS-LIS - and KLM is certainly not in the frequent position of seeing bags being transferred from CX services arriving in AMS, so it's not that there's a guaranteed, well-established daily flow of bags arriving at AMS on CX from HKG that get handed over with regularity to KLM.

Alternatively, do as I do when travelling on separate tickets; plan enough time between tickets so that I can retrieve the luggage myself and check it in for the next trip...while calculating whether the extra time wasted is worth whatever "savings" and "convenience" booking travel in this way may save you.