Hi Jaya, thanks for your concern! I'll reclaim my luggage at Heathrow on the way out - I don't think I'd be able to check it through even if I wanted to, as the flight to Madrid is the next day. My query was checking it through on the way back, as I only have two and a half hours to change terminals at Heathrow then. Should be fine though, fingers crossed!
Cheers,
Bob