Yes - just like booking each leg of a flight separately can be cheaper - but it's up to you to make the connections with little come back if you miss a connection.

However raileurope is - em - "well known" for charging the earth for tickets and in some countries you can get walk-up fares that are cheaper than raileurope's offerings. In most other cases booking through the website of the train company itself is cheaper.

Suggest you have a good read of www.seat61.com