I often fly long haul and enter via LHR. I will always try to surrender most of my carry on at that point as I have further connections to make at EDI/GLA/ABZ onwards to KOI/LSI and don't want to bother with the entire family's carry on for another half a day. Just one or two pieces will do me fine!
Usually they get spit out on the other end and if you have seen the airports at LSI or KOI, you will see that waiting time is not a problem.
However, on my most recent trip, they were not tagged to the final destination and I had to leave airside to recheck the carry ons for the final flight. The strange thing is they have no records of the check ins at the start of the journey and I was treated as having used none of my luggage allowance.