I've done this several times, but when I plan the trips, I always make sure there is at least 4+ hours just in case the first outbound flight is delayed. Obviously, if things really go wrong on that outbound flight, then 4 hours might not even been enough. But so far I've had no problems. As others have said, if you do misconnect on 2 different PNR's, then you are caught in no-man's land where neither carrier is responsible for your problems.