I have too! And had always wondered about the procedure. So I asked a while back. Depending on the Embarkation port the procedures may vary. All B2B guests have to go through Customs/Immigration in the cruise terminal.
If they have the same cabin the luggage can be left. If one does not have the same cabin they need to check in with the Purser's Information Desk and make arrangements before the Embarkation of the second cruise so they can move the luggage.
This is my current understanding of it.