JFK-ATH-JMK

I am flying from JFK to Mykonos (JMK) via Athens. The ATH - JMK leg is via Olyimpic Airways. Will Delta check my bags all the way through to JMK? Any others here have experience with this? My fear is that I have a 5 hour layover in Athens and the luggage will not make it to JMK.

Also, I assume we need clear customs in Athens.

Any and all advise is welcomed.