We just did that. As mentioned, you will be checked in for both legs of your flight when you check in for the flight. You each get two boarding passes, one for each leg.
We checked in at the 24 hr mark and got A26 & A27 for the first leg (MSP-STL) and A47 & A48 for the second (STL-MCO). Second leg was entirely sold out. Even though every seat was taken, the boarding went quickly and everyone found a place to store his/her carry on luggage.