Do you really need a room for the afternoon/evening? You can generally check luggage (at the better hotels) with the bell hop and retrieve it later that night. There may be a per-bag charge, but it will still be cheaper than booking an un-needed night.

Don't forget that Priceline will let you extend your stay, and guarantee you the same hotel (at the same rate, plus their fees). This might still be cheaper than direct-booking. But if it's negligible difference, then go ahead and direct book with the hotel. If you direct-book, you should have no problem getting your points for that last night's stay. You don't even need to mention to the hotel that you're already going to be there on a Priceline stay, previous nights. But when you check in for your first nights, you should tell the desk clerk, and ask him or her to try to keep you in the same room for your final night (they can block the room for you).

You will most likely need to go to the desk and re-check in, however, for your final night regardless of the method you use to get the final night.