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If your itinerary is booked on one ticket (you bought all the flights at the same time in a single purchase), and you have less than twenty-four hours in each of the cities on your journey, then your bags will automatically go as far as San Francisco. There you will collect them for a customs inspection, and then drop them again at a special bag drop belt, for their onward journey to your final city.
When you check your bags in, you will be told where to collect them next.