Going forward...
It's definitely possible to issue multiple tickets within the same PNR, but bookings made directly with an airline will not have this ability generally due to poor multi city booking engines offered on airline websites. Many multi city booking engines limit the fares offered to only fares published by that particular carrier. Most airlines also won't sell a fare published by another carrier, as fares generally have to be ticketed on the publishing carrier's ticket stock. QF can't issue a ticket for a BA fare that requires BA ticket stock for example.
If you want to issue multiple tickets within the same PNR, you'll generally need to have a travel agent do it. Most preferably, an agent that uses Amadeus given two thirds of oneworld uses Amadeus, as it'll be the same identical PNR viewable to the carriers as well as the agent.
It is NOT necessary to issue tickets for all connecting flights at the same time for them to live in the same PNR, so it's perfectly possible to buy the respective tickets during the respective sales if that's your thing. For example, the following is perfectly possible:
Itinerary: SYD QF X/BKK AY X/HEL AY LHR
SYD QF BKK - issued 31 MAR 2016
BKK AY HEL AY LHR - issued 20 APR 2016