Upvote:-1
You will have to recheck your bags if you book two separate tickets and that the flights are not code shared.
British Airways and Malaysian are members of oneworld; thus you may be able to get a code-share flight from either of the operators. If this is the case, then you will not have to re-check your bags.
Bottom line - it depends on how you book your ticket.
The way you have described your itinerary, it sounds like you have two point-to-point tickets. The first is LYS-LHR on BA365, and the second LHR-KUL on MH003.
In this scenario, you will need to collect your bags and re-check in for your second flight. Your bags will be checked into LHR on your BA365.
It also means, that for the purposes of immigration - you need to be able to enter the UK (ie, this is not an airside transit).
Upvote:2
If you are buying all your flights together in one single transaction, then yes your baggage will be checkled through. You will not need to collect your luggage in Heathrow. You should recieve all your boarding passes at the check in desk in LYS but even if you do not, you can collect your Malaysian Airlines boarding pass once you get to Terminal 4. Simply follow the purple signs for flight connections when you get to Heathrow. A free bus will transport you to Terninal 4. You do not need to enter the UK nor pass through UK immigration.
However there will be a security check at Heahrow because the UK government only trusts British airports to apply security screening.
(Even if you are buying several tickets through several separate unconnected transactions, it is BA policy to through-check to oneworld partners including Malaysian Airlines, however it may take some time to arrange this.)