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Here are the general procedures to follow:
1. Clear the US immigration.
2. Pick up your luggage from the carousel.
3. Clear the US customs.
4. Surrender your luggage to your airline staff on duty, who usually wait for the transfer passengers right after the customs. They'll take your luggage from there and direct it to the right destination.
5. You board the AirTrain to the approriate terminal.

Hope this helps. Good luck.