關於由香港飛去墨爾本, 然後再飛悉尼 , 那我要下機後拿回行理出關 , 再走去國內線那邊再check in 和寄行理嗎?

Yes and no.

1. Your baggage will be offload from HKG-MEL flight for immigration and customs purposes.

2. For convenience, there should be a transit area after immigration and customs. Check with there for further instruction, including baggage and boarding pass.