You needn’t worry about this. If you will be making plane changes during your journey and the airline you are flying with has a baggage agreement then you baggage will be handled by the airline and reach your final destination. If however the airline doesn’t have a baggage agreement then you will be responsible to claim your baggage from the Baggage Claim section at the next airport where plane changes will take place. You will have to check your baggage once again at the airport for the continuing flight till your final destination.