When I flew roundtrip on Iberia, I asked for two separate tickets in order to avoid the multiple FF# problem (I was flying full fare coach so it didn't affect the price). This totally confused their airport ticket person. First he wanted to know the name of the other passenger. I explained that no, it was just me. Oh, so you're doing this twice? No, just once out (one ticket) and back (the other ticket). He printed away on his computer, and gave me two one-way tickets for Madrid to Bilbao!

Once I got it all straightened out, though, I gave the respective FF#s as I checked in for each flight, and they both credited smoothly (as opposed to my BA and CP roundtrips).