I travelled via Rio in 2007, it was just like travelling anywhere in Europe, ie you don't go through customs, you don't go through immigration, and you don't see you baggage. You just go from one plane to the other.
However (and I cannot say this happens all the time as it was an experienc I do not want to repeat) the airport was totally disorganised. They could not tell us which gate to use untill fifteen minutes before departure. There were huge delays and two planes were leaving from the same gate.