In the US, flying from secondary airports often is considerably more expensive than flying from the major hubs (JFK and LAX in particular), so I often do exactly this.

I recently traveled MSY-DXB, and found it to be much less expensive to purchase a one-way economy ticket for the one-hour MSY-DFW flight and then purchased DFW-LHR-DXB-LHR-DFW-MSY in J on BA. Interestingly, adding the DFW-MSY segment at the end did not considerably increase the price, whereas adding MSY-DFW at the beginning would have.