Mrs. Ratman, yes, it was separate tickets. However, once when I used a Delta codeshare with Cape Air, I was still unable to check it through to Cape Air, so I had to undertake the dreaded retrieval of my bag off of the carousel (why do they use that nomenclature, which implies something that's fun?), take it up on the elevator and then check it at the Cape Air desk.

On another issue, it's been so long since I travelled through San Juan with only carry ons that I really could not recall if indeed one does not have to go back through security.