You do not need to pay again if you book your tickets from one source (travel agency/site).
The way it works is when you purchase your trip, even if it involves 2 separate airlines, it will be covered.
HOWEVER
If you booked on the website the first ticket and then booked the 2nd flight separately, then you will need to pay the fees on each flight.
Websites like KAYAK.COM or travel agency websites will 'build' a ticket package that will take you to and from your departure and arrival airports. If it needs to hop onto 2 different airlines to do it, it will use the 2 airlines that have partnerships to service those locations.
For example, i'm headed to california at the end of the year (from florida). I booked through a website and it gave me AIRTRAN for one leg of the flight and CONTINENTAL for the 2nd leg (stop in houston,tx).
For me, this is ONE ticket florida -> california even though im using 2 airlines. I will switch planes without paying luggage fees.
If I had purchased the ticket directly from Airtran and the 2nd leg directly from continental, I would've had to pay the baggage fee twice because I would've needed to be checked out and checked into each flight.
make sense?