Presuming this is all domestic travel, this will most likely work, so long as you don't do it again. This is technically a violation of the Contract of Carriage and the rules for the fare you purchased. Your major risk here is that something unforseen happens and you miss your bags on the belt. They will then go to the baggage office or whatever DL uses at the destination station. A little research will determine that you never boarded the final segment and will flag you as a violator. It's also possible, although very unlikely, that your flight will be selected for bag match on a random basis. If so, your bag will be pulled from the final segment.

Your best bet is not to check luggage.