You are correct that if you buy the tickets separately and mis-connect you'll be hosed. The solution to this is to just buy a single ticket combining the various carriers. The 3rd party sites (expedia, orbitz, travelocity, etc.) are very good at piecing these together. And depending on which alliance/carrier you want to fly on some of their sites do a pretty good job of it, too.

Do you have a preference of carriers for your two trips? That may dictate the booking channel you use.