Change of Airline at Bangkok Airport

Hi,
I'm traveling from KL to Bangkok vis Malaysian Airline reaching Bangkok at 13.00 hrs. And my next flight from Bangkok to New Delhi is at 17.30 hrs with Jet Airways. Now, I need to know what happens to my check-in luggage which I check-in at KL airport??...How do I ensure that luggage is directly transfered to the Jet Airways flight and I can claim it at the New Delhi Airport??
This is my first time with different airlines on the same journey...any kind of help shall be appreciated.
Thanks,
jazzyjat