i've done it a few times, but all on international flights. i usually book it with 8-12 hour layover just in case and most time the first airport will not send my bags all the way through. however, i did have one disaster where i didn't make it to the 2nd city in time for that flight. it was a pain dealing with 2 different airlines to get it sorted out. so i personally will probably not do it again unless i'm saving hundreds of dollars per tix.