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When arrive in Dubai on your first flight, you will go through airport security before you reach the main area of the terminal. Your carry-on bags will be X-ray'd and you will go through a metal detector. Your checked luggage will be transferred "behind the scenes" without you present (assuming you have purchased a single ticket for the trip), but it may be screened or searched somewhere in the depths of the airport.
We have another question on this issue where Burhan Khalid reports:
Although you are not importing items into the UAE (as you never enter the country, but are in transit) nevertheless any goods deemed inappropriate will be seized.
You do run the risk of having the item confiscated but nothing more.
If you do decide to bring them anyway, there is presumably a much lower risk of public embarrassment if they are in your checked luggage.