What we call custom connection bookings or A-B-C bookings sometimes offer exceptional value. Usually they cost more than the default fares from A to C. There is no user-friendly rule to determine when you will save money. You just have to hunt for possible connections (one flight number on each leg, plus a legal connecting time) and try them.

Most Southwest customers fly nonstop trips, for which an advanced technique like this is of no use. Unless you want to be even more advanced and book a connection with low on-time performance and hope for a big delay plus success standing by for the nonstop.