I'm not sure how to ask my question or if it's in the right place...redirect me if I'm wrong?

We have what I think are complicated connections (I've done this to myself, no doing of the airline) and I want to be sure I'm okay before I pull the trigger on the shorter flights. I travel often, frequently internationally, but I've never booked anything other than a single ticket with the airline doing the work...this time around I had to have a bit more flexibility to get my whole group together.

I've booked roundtrip tickets on Delta, MSP-LHR. I have yet to book additional tickets roundtrip DSM-MSP and LHR-CPH

Flights are same-day:
DSM-MSP
MSP-LHR

LHR-CPH a day later

Then on the return, all same day:
CPH-LHR
LHR-MSP
MSP-DSM

Do we need to check in and go through security multiple times? Domestic to international? On our return with 3 separate tickets, do we check in and go through security in CPH, LHR, and MSP? Collect checked bags??

If anyone could help me get my head around this, I'd be grateful! I'm hopeful it's not as complicated as I'm making it in my head!
THANK YOU!!

If you're buying multiple tickets, if you miss one flight, the other airline(s) will be under no obligation to re-accomodate you, also if you miss the outbound on one segment, the return will be cancelled.

You will need to pick up your bags in MSP and again in LHR in both directions, as you are buying separate tickets. If you need to pay bag fees, you'll have to pay those once for each ticket.

On the outbound, DL may be willing to check your bags through DSM-MSP-LHR, even on separate tickets. They definitely won't check through onto the onward LHR-CPH segment. So you would have to go through immigration at LHR, collect bags, and then recheck them.

On the return, BA definitely will NOT check through on separate tickets so you will have to collect bags at LHR and recheck with DL. And while DL may tag through to DSM, no matter what you will have to go through immigration, collect bags, and go back through security at MSP.

As this will all be separate tickets, especially the LHR-CPH/CPH-LHR tickets, make sure to give yourself several hours in case of delays because if you miss any of these flights, none of the airlines are obligated to recommodate you on a later flight without you buying a completely new ticket at walk up fares. Remember to give yourself time to disembark the plane, go through immigration in most cases, collect luggage, stand in line to check luggage back in (with most airlines requiring baggage to be checked in 45-60 min before a flight), and go back through security.

Does Delta no longer through-check bags on separate tickets if they're both with DL? I know there have been changes in policy with some airlines in recent years but haven't kept track of it all. If they still do, and if the DSM-MSP flight is on DL, that would save having to retrieve and re-check bags and re-clear security outbound at MSP. On the return trip of course you'd still have to claim bags for customs but there is usually a bag drop post-customs if your luggage is tagged through rather than going to the ticket counters to re-check. If you're not on DL to/from DSM then disregard.

As noted above you're taking a risk with separate tickets like that if there is a delay or cancellation and you end up missing the next ticket's leg. I always want a wide buffer of time, the amount varying depending on the circumstances including your ability to afford a backup plan if you do miss the next separately-ticketed leg. The distinction being that what you're proposing aren't connections, they're just separately purchased flights.

Personally, for such positioning flights before a long-haul, I prefer to arrive at the long-haul airport the night before, or early that morning if the long-haul is late in the evening - seasonality/weather risks may factor in too. Coming home, for situations similar to your MSP-DSM separately-ticketed flight example, I'd still want several hours. Although what I often do is drive instead if it's a reasonable distance - if I were in the Des Moines area for example I'd likely just drive to MSP. It's especially helpful on the way home, as it doesn't matter if my long-haul flight is delayed by 30 minutes or 13 hours, my car will be there waiting regardless. While I still need to allow a bit of extra time in case of traffic or car trouble, it seems to work out better in the end. Just my two cents - everyone has their own preferences and risk tolerance.

Good luck and have fun, whatever you do!

DL will check bags across separate DL tickets. Thus, bags should be checked at DSM to LHR. At LHR, OP is stopping over and clearly not flying onwards with DL as it does not serve the route. Thus, he will clear immigration (passport control) and customs at LHR and will, of course clear security again at LHR when he comes back to the airport the next day.

On the return, as BA will not check bags across tickets (even its own), OP's bags will be checked CPH-LHR, where he will need to pass through immigration, customs, check in, and security. At LHR, his bags will be checked by DL to DSM, but he will nonetheless be required to claim them before CBP at MSP and then drop them with DL after Customs and then reclear security.

All of this means that OP really needs to allow not only enough time to accomplish these tasks, but to protect himself. On separate tickets, he is at risk of a now show for onwards travel if one of these flights is late.

It sounds like things get significantly less complicated on the return if we fly carry on only, am I right? If what I'm understanding is correct, we should be able to check bags in DSM through to LHR, but on the return, while we may be able to check bags LHR to DSM, we'd still have to collect them in MSP?

I believe our tightest flight would be 7 hours prior to boarding in LHR on the return, so I'm hopeful we're good there...but while I'm generally a pretty big risk-taker, I also don't want to risk missing the long-haul either way. I'd prefer to fly DSM to MSP (I'm bringing my parents on this trip and car rides are, shall we say, challenging), it sounds like 84fiero is right that may be my safest option!

Carry on only significantly reduces the difficulties of these multi-ticketed itineraries (eg at LHR, you could use Flight Connections rather than entering and then exiting the country), but you are still faced with either wasting huge numbers of hours in airports, or risking missing flights altogether. If you can do them on one ticket, it would be hugely advantageous.