Hi @jtgarwood,
Great question, thanks for posting on the Community.
On your outbound flight, you won't need to do anything - your bag will go all the way to your destination.
On your return trip, you will have to claim your luggage upon arrival in the U.S. and, after you clear Customs, you'll be required to re-ckeck all checked luggage with a Southwest Airlines Customer Service Agent before proceeding to your connecting flight.
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