How does it work when flying through a Schengen country to make a connection?

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Most (but not all; one notable exception is Berlin's TXL) major airports in the Schengen area are set up such that passengers arriving on a non-Schengen flight can proceed directly to the non-Schengen departure lounge without passing immigration (but passing a transfer security check depending on where they flew in from).

This route will not give the passenger a possibility to pick up and re-check baggage.

Often, but not always, there will be transfer desks where transiting passenger can check in for their next flight. With the spread of online/mobile checkin this is becoming less important, though.

What remains important is that for separately ticketed flights, a passenger will probably not be allowed to board the flight towards the Schengen airport unless they have a passport or visa that would allow them to pass through immigration. In case of a missed or cancelled connection, the inbound airline would be on the hook to the host country's authorities for transporting a passenger without sufficient documentation, and there's no good reason why they would accept that risk.

Smaller non-hub airports will not necessarily have a non-Schengen waiting area. They sometimes do immigration checks right at the gate.

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