As tassiedude points out forget about connecting on anything involving Jetstar, it ain't an option so book it however you want.
With Qantas -> Virgin or vice versa, again no connection option so book it whichever way is best (if going through a TA who charges booking fees, it may be cheaper to book combination itineraries to reduce the TA fees, otherwise they will be separate anyway).
With Qantas -> Qantas, simply ring Qantas and politely ask them to link the bookings, should be OK, and have both booking references handy when you check in. Although with the Qantas online booking engine, usually brings up the same (and in some instances cheaper) through fares on connecting domestic flights, and if not can book using the new multiple destination tool and put them in the one booking anyway.
With Virgin Blue -> Virgin Blue, I know what you're talking about, I have seen (especially when sales are on) instances where separately booked flights are substantially cheaper than booked connecting flights. Unless someone else here knows (crazydave98 ??), I suggest you call Virgin Blue and ask the question about linking bookings/connecting luggage etc. That should in theory, be the most reliable source of information.