I have done this with Virgin. There are 2 issues here. It really depends on AA, and not on EL AL. If you are on one ticket there will be no problem. If not, then it depends upon whether AA are prepared to do it at the checkin. Most airlines don't seem to mind, but sometimes you can get stuck with an awkward checkin agent ...

The second issue is that EL AL are (as we all appreciate) fussy about security. My experience at LHR is that they will call you to 'identify' your suitcases and may ask you to open them in front of their security staff. Nothing terrible.