WN does not prohibit hidden city ticketing so there is no associated fraud risk.Other carriers, there are risks which run from don't do this to don't do this often. With WN, it truly does not matter whether you do this once, all the time, or never.
The sole question is whether the time you spend looking for the opportunity exceeds the value of the savings. You can do this for $1 savings and it's worth it if you have nothing better to do with your life.
You don't check bags, you board flight
#1 and you disembark at what would have been the connection point and leave the airport rather than heading to flight
#2 . You have paid for the ticket to flight
#2 's destination which is less than the cost of the ticket to flight
#1 and you are done with it. WN does not care and you have saved money.