Upvote:8
Yes, you will collect your luggage, and submit it to a customs examination when you first arrive in India, at Delhi airport. You have to collect your luggage as an international arrival, it is not avoidable.
This is how international-to-domestic transfers usually work (except inside Europe).
After customs, there is a desk on the left, near the lifts that take you to terminal 3 domestic departures. That desk will accept your luggage for the domestic flight. Alternatively you may take it to the domestic counter yourself.