Just did OSL - EDI via LHR yesterday booked the luggage through no problem, waved it good bye in OSL & next saw it happily wending its way around carousel 6 in EDI.
Of all the travel I've done in the past few years to North America Europe, Middle & Far East, the only time that I have had to pick up my luggage and clear customs at any airport, other than my final destination [even in Norway] has been when I have not been able to book a single ticket for the complete journey.