I for the most part buy all flights on one PNR but on some instances where I want a stopover I will purchase separate tickets and stick with the same Alliance and then have the first reservation and the second itinerary noted that I am booked on Flight XXXX under PNR.
I will allow 4 hours in between flights on two separate itineraries or even consider an overnight just in case of a delay.
But again for the most part its one itinerary with all my flights.