e.g. Flight was:
Foz do Iguacu (IGU) -> Sao Paulo [on Azul or Gol, don't remember] Sao Paulo -> Lisboa [on TAP] Lisboa -> Munich (MUC) [on TAP]
Luggage was checked through from IGU to MUC, in Lisboa I had to pass immigration, but I did not have to go through customs neither had to claim my luggage. In MUC there was no customs present at all, since the flight was Schengen internal, I suppose.
I am on similar flights like once a year and every time I am wondering if I am missing something.