Originally Posted by MSPeconomist

DL and UA interline, so if everything is on the same ticket/PNR, you should be able to check bags through and (if no IROPS) simply drop the bag after clearing customs. If other carriers are involved, this could complicate the situation. With separate tickets/PNRs, UA isn't obligated to check the bag through and indeed additional checked bag fees could apply for the DL flights. However, if you can check in and receive the DL boarding passes through UA, I suspect that it's the same ticket/PNR unless you're planning to simply do OLCI separately with DL and UA.

Plan to have hard copies of all PNRs and all ticket receipts to show to the airport agent when you initially check in for this trip.

If the bag isn't tagged through to your destination, you would probably need to find a DL agent for this step. I suspect that this will mean going to the DL check in area in DL's terminal, although there's a very very slight chance that a SkyTeam agent post-customs would be able to help. [I'm assuming that no codeshares are involved.]