I will be flying Air China from Kuala Lumpur to Dalian via Beijing.

Yes, when you land at Beijing capital airport, you need to retrieve your luggage and check in again for the domestic flight to Dalian. Just go through the following procedures: 1: Inspection & Quarantine, Exit and Entry Frontier Inspection 2: Baggage Claim 3: Customs Inspection 4: Going through Transfer Formalities 5: Security check 6: Waiting & Boarding