From 1999-2002, I worked out of my home in NJ for a consulting firm near DFW. I did this every month, but I used separate airlines. I was fortunate; at the time, both Continental and AA had convenient flights between DFW and EWR.

I'll defer to others as to whether you could do this on the same airline without penalty, but one possible way to accomplish that would be to use FF numbers from 2 different airlines in the alliance for each trip.