I went from Astana through Urumqi airport on my way to Guangzhou and Sydney on 28 August. Yes, we had to collect our luggage and then check in again. They could not check my luggage through at Astana airport. My luggage was checked through all the way to Astana when leaven Sydney, though. So going out it was possible to check my luggage right through and pick it up at final destination, but coming back I had to pick it up in Urumqi and check it in again.
When we got off in Urumqi, there was a special check a few meters ahead of Immigration desk. Two men in green uniforms (army, I presume) asked us to show them our China visa before we could progress to the Immigration counters for passport and visa check. I am not sure what would they do in case of people who rely on 24 hour transit-without-visa clause.
Once you get through the Immigration, collect your luggage and get through the customs, there is a China Southern transfer service desk just before exit from the airport. I did not bother to go up to the desk because I had 7 hours layover and did not wish to go to a hotel. I preferred to stay around the airport. This was a mistake as they did not let me back into the airport but took me to a hotel. Right from outside, with all my luggage. Apparently everyone who has a longish transfer at Urumqi must go to the hotel.Please do not just walk out into fresh air but go to the China Southern transfer counter.
I must add that on advice of China Southern, I've got a G visa (transit visa) for this trip. I was thus able to show it to the soldier who was checking them.
Also, when you fill in the yellow immigration form on your entry, do keep your filled in Departure part of it. It will save you scramble for a pen and delay while trying to fill it in before you come to the Urumqi Immigration counter.
By the way, the hotel that China Southern sent me to was rather good, the minibus staff helped with my luggage and everyone, including security, were pleasant.