I've also had good luck doing this. The process is:

1. Check in with a person at SFO, and show them both your UA and your AF itins. They will check your bag through to CDG, but they have no access to the actual AF computers. Your bag will be tagged for SFO/LHR/CDG, but won't be in the AF system.

2. At LHR, go to the first AF desk, either landside or there is a transfer desk at the FCC, and show them your luggage tab stub when they check you in for your flight. They will enter the bag into their system.

I actually didn't do this once when I was transferring UA to KLM and they paged me at the gate having matched me up by name, but I wouldn't count on that happening.