Do I need to check out my baggage when I need to change plane going to Changzhou?

I am going to Changzhou and my flight is from Manila-Shenzhen Bao'an Intl and to wait for several hours before transferring to a different Shenzhen airline plane going to Changzhou. Do I need to check out my baggage when I arrive in Bao'an or the Airline will take care of transferring my baggage to the new plane?
Thank you.