On Mon, 30 Dec 2013 15:36:12 +0000, Mark Carroll
wrote:

Recently I arrived from the US into Heathrow, perhaps terminal 4 but I
don't recall for sure. I was confused by the signs and I am wondering
what I should have done.

I hold a UK passport and my itinerary had a connecting flight. However,
I wasn't yet checked in for the connection, nor was my baggage checked
through beyond LHR.

So, just before passport control, there was a sign pointing left for UK
passports and right for flight connections. Which way should I have
gone, and why? I was confused because both directions seemed to apply!
But then I worried that if I followed flight connections, I didn't know
I would get to pick up my bag to get it onto the connecting flight, so I
followed the UK passports sign and ended up picking up my bag and going
landside and then I went and found check-in for my next flight, I just
didn't know if I'd needlessly gone the long way around.

No, you've done exactly the right thing.

If your baggage isn't checked through you have to get through passport
control to get your baggage and then go through 'groundside security'
again to catch your flight.