Your baggage on the outward journey will be checked through but you will have to collect it at Philadelphia, take it through customs and recheck it (normally all this entails is slinging it on a conveyor belt). You will also pass through US Immigration at Philadelphia.
On the return journey your baggage will go right through.
Security - fairly standard but you should not lock your baggage except with a TSA approved lock. If you do lock it US security are liable to break it open if they want to inspect it.