If you book your flight from Heathrow to Dalaman with the same carrier, you will be given both boarding passes at check-in and will not see you luggage again until you arrive in Dalaman. You will be taken by bus from the domestic terminal in Dalaman to the international terminal where you will pick up your luggage.
For you luggage to arrive in the domestic terminal, you would have to book both legs of your journey separately, Heathrow to Istanbul and Istanbul to Dalaman (this would enable you to book each leg of your journey with a different carrier if you so wished). With this scenario, you would collect your luggage at Istanbul and then go to internal departures and book your luggage in for your onward journey to Dalaman.