While checking bags through on separate PNRs can be done, it increases the chances of your bags going astray.

They have to write out a manual baggage tag and there is a fair chance things can go wrong because the computer system does not allow them to combine the PNRs for baggage purposes.

This happened to me at LAS for a conecting trip LAS/EWR/GLA with plenty of time at EWR for the bag to make the connection.

It didn't, so I had all the hassle of doing the missing bag claim at my destination.

The bag arrived the next day and was delivered to my home.

The only reason that I used separate PNRs was to try to use a discount voucher for the domestic sector. Ended up I couldn't use it because I was making the booking on line in the UK with a UK credit card and when I put the code and the voucher number in, I got a message back saying it could only be used on a US based credit card. So much for their Customer Care Kit which contained the voucher.

At least I had the upgrade on the LAS/EWR flight.

PS .. hope yours made it OK.