You can get around this by notifying the airline with a quick call as soon as you have completed the first sector of your journey. They can then officially cancel your booking on the second flight and open it up for anyone else who may want or need it.

I agree about ensuring that your bags are not tagged for the entire journey. If they are checked right through, they won't hit the carousel at your first stop so you need to specifically request that they tag then appropriately to let you collect them when you land after your first flight. Also, since the bags are not supposed to go without you on a flight, if they have to offload yours due to a no-show without being advised that you aren't taking the last portion of the journey, it could cause delays for other passengers.

It's doable; just inform the airline as a matter of courtesy so that they can plan accordingly.