I would certainly agree with the suggestion of collecting and re-checking your baggage at every intermediate airport. The "professional" view on this is that if you do not have sufficient time to collect at the carousel, change terminals (if necessary) and re-check the baggage in, then you almost certainly have not allowed sufficient time for the baggage transfer to take place "normally".
My worst experience was when a friend and I travelled from Edinburgh to Winnipeg for a duck hunting trip. Because he had millions of air-miles, he travelled by a different combination of airlines to me. We got there OK but, coming home, I travelled Winnipeg - Minneapolis/SP - Heathrow - Edinburgh. He travelled Winnipeg - Toronto - Amsterdam - Edinburgh. We left Winnipeg within half an hour of each other and arrived in Edinburgh within half an hour of each other. Both sets of airlines lost our luggage (which contained shotguns - and, because of UK firearms regulations, we both had to return to the airport the following day to collect our stuff as it could not be delivered to our homes in the normal manner).