I do this all the time and it normally works out ok. The biggest issue is actually on the other flight in the booking. As an example - last week I was flying LHR-MAD-LHR in a 24 hour period and checked into both flights and printed boarding passes at the same time. I then changed the outbound at the last minute due to a meeting running over (TA offloaded me and re-checked in) and the inbound flight started appearing as not checked in on MMB without letting me change it. Got to the airport in Madrid and went up to the BA check in with my boarding pass and asked if it was still valid - they said yes so I went through to the lounge and then gate. As I went to board I was red flagged and not allowed to board - turns out that I was never checked in and the check in desk lied to me/didn't bother to check properly... All worked out in the end as they let me onboard but I was not particularly happy with the BA service at MAD.

Sorry - that was more of a rant than a response. I'm surprised BA took a 333 EUR change fee off the OP, was it not a flexible ticket?