We didn't want to risk it on the inbound portion, but tried checking bags on the return from Windhoek, to JB to ATL (pick up for customs and drop back off) to SLC.
By some miracle it all worked.
The tricky part was for Airlink was that they required the class of ticket (which would show on your itinerary or your receipt). The internet in the airport maybe be dodgy so have this in print.
It will be the end of your trip. Don't just stuff you itinerary/receipt away. Keep it on hand for the Airlink check in.
good luck.