Transfer from terminal 3, PEK but not sure I can check in luggage to final destination

Hi. I arrive Beijing T3 with SAS from Copenhagen and travel to Bangkok with Thai airways from same terminal. Not sure I can check in luggage in Copenhagen to BKK since different aircompanies. And If I have to check in luggage in Beijing I guess it is a problem since I not have a visa.
Hope you can clear this up for me.
BR Torgeir Abusdal