We gatechecked our 2 Maclarens last year on Southwest. What I understand is that they do go in the hold, but on top of the other stuff, so they come off first. (Of course, this may vary by airline...).
I had made big rubber-backed canvas bags to carry them and protect them. When we got home, we discovered that one stroller in its bag must have gotten wedged on one of the conveyor belts, as a blackened hole had been worn completely thru the bag. (It's pretty heavy stuff...about as heavy as suitcase fabrics, if not more so.) After we got home, we discovered that a smaller hole had been worn thru the reflective coating trim on the stroller, also. In addition, there were all kinds of black marks elsewhere on the bags.
We're going again this year, and I am definitely "bagging" my stroller.