Don't worry about your baggage. But remember few things before taking that route.

There is no separate gate for transit passengers so don't bother trying to find one. You will just end up in the immigration counters. Don't pass the immigration, instead just wait there until everyone leaves. After couple of minutes when you are alone there, one babu will approach and asks your problem. Tell him that you want to go to transit and show him your flight schedule. Then you will be told to take a seat in a corner as he tries to contact the airlines you have just taken to land there.

Then the guy from the airlines will come and asks for your baggage tags. Note down his ID number and name before he leaves, there is no way but to trust him. After sometime he will show his face again, hands you back your tag stubs and asks you to follow him. Just follow him : )) he will sign you personally to the transit area. Then there is nothing but to wait. Usually 2 hours before your flight somebody comes looking for you. You have to give him your passport and tickets, he will take you to another babu inside who is gonna ask you some stupid questions. There you can see your baggage and you need to identify it personally. Then the babu will chalk mark it and you are done.

Have a good trip !