My only experience of this is a recent LHR-AUH-MCT run, with the legs on separate bookings (one cash WT+ MFU'd to J; one full fare F).

On the outbound, we OLCI'd but arrived late and LHR could no longer print BP's to AUH-MCT, but they wanted to give them to us. The luggage was checked through but only by the lounge "putting it to red" and the gate printing new labels which the driver of the transfer bus took, with us, to the dispatcher to relabel it on the tarmac. We had to disembark at AUH, walk around the back of the gate into the lounge, collect BP's and re-embark.

On the inbound, we OLCI'd, arrived in good time, were issued separate BP's for each leg which we simply showed on-board at the intermediate stop without leaving the 'plane and our luggaage was through-checked. Moral of the story, arrive early!