Multi-airline Itineraries

Afternoon All!
I've noticed that regular fliers on here sometimes post about itineraries starting off on a VS Flight, i.e. into North America and then travelling onward on a domestic flight to a final destination with a carrier such as JetBlue, Virgin America and others.
Can I ask - in these cases have you generally just booked separate return flights leaving yourselves plenty of time for connections (and in this case what happens with baggage?) - OR do you have a way of putting each leg together on a ticket, with through-checked bags and a single PNR? If so how do you do this/who does this for you?
Sorry - I think I made it all sound more complicated than I meant to! Anyone can give me the heads-up I'd appreciate it.
Thanks,
NKP
I've noticed that regular fliers on here sometimes post about itineraries starting off on a VS Flight, i.e. into North America and then travelling onward on a domestic flight to a final destination with a carrier such as JetBlue, Virgin America and others.
Can I ask - in these cases have you generally just booked separate return flights leaving yourselves plenty of time for connections (and in this case what happens with baggage?) - OR do you have a way of putting each leg together on a ticket, with through-checked bags and a single PNR? If so how do you do this/who does this for you?
Sorry - I think I made it all sound more complicated than I meant to! Anyone can give me the heads-up I'd appreciate it.
Thanks,
NKP