Definitely do the two stop. Seeing WN doesn't give you credit based on miles or segments you wouldn't have that advantage (the only advantage I can think of with other airlines with making a connection is additional points/segment credit).
If your first flight is severely delayed you won't have to worry about missing your connection. Lesser chance of irrops with one flight. If you end up with a lousy seat on the first segment of the flight you can always change seats after the first stop. If you have bags you won't need to worry about them not transferring on a tight connection.
If you print your boarding pass out online I would make sure to make a duplicate copy or tear off your stub if you use an airport BP. If have been on flights before where I have had to change gates due to an aircraft switch and it helps the GA out if you have that. I have also been on flights before where they have reached the gate early and the captain will allow you to get off the plane (and if there is a crew times even require you to deplane) and it helps having the BP then.
If you are checking a bag make sure the counter person tags it correctly. One time I flew dtw/LAS and the plane made two stops and my bag wasn't on the belt when we landed (I was the only person that was on all three legs) and I found out that the ticket agent at DTW had tagged my bag to be transferred at either MDW or ALB. Luckilly they got my bag to me that night, but now when I have a flight with stops I make sure to ask at the counter if the bag was tagged propertly.