Important distinction here; gate check, or valet? If a bag is gate checked, you will get the usual printed out white paper tag with bag tracking, bar code, etc. This type of bag will need to be picked up at baggage claim, as it's actually been "checked". Usually bags are only gate checked on larger, say 737/A320 type aircraft when the overhead bins fill up. Also, there is no system for valet bags on those models, unlike the regionals, so checking is the only option.

With a valet tagged bag, you will just get a yellow or red (depending on group number) paper tag and leave your bag at the bottom of the jet bridge. You will collect that bag on the jet bridge when you deplane. Because the bag is not entered into any type of tracking system, they have to return it to you when you land.

Also keep in mind that, if you're on a round trip ticket, your return flight will get canceled the second you don't show up for your connection. So if you're going to do this it best be a one-way, or on your return leg. Airlines don't take kindly to this so I wouldn't make it a habit. You may think why would it matter, they'll just put a standby in your seat, but if the gate fees for you to get off in PHL are higher than BOS, the airline is stuck eating the bill. Do it too much and expect penalties.