I have a very basic question you guys might be able to answer...
If I buy tickets to two different sectors (or from two different airlines) do I need to go out and claim my baggage and check it back in?

Example: Going to Vietnam
London to HK = British Airways ticket
HK - Vietnam = Cathay Pacific ticket

(return is vice-versa of above)

Do I go through immigration, baggage claim and customs at HK and re-check in for Vietnam flight? Or can one "connect" the flights to have the baggage go through? I am doing this because it is cheaper than a through-and-through flight (ie Cathay Pacific - LON to HK to Vietnam or Qantas-LON to HK and Cathay-HK to Vietnam connecting flight).

Cheers!