Don't know about this City A and City B nonsense, but...

Say you're ticketed DFW-ATL-DFW and you want to go DFW-ATL-IAH instead.

My first question is how are you going to get back to DFW at the end? That aside, unless you're on a full-fare ticket and want to endorse the whole thing over to another airline, I doubt you can do what you propose. Surely it's easier to just call DL and change it now. As most tickets are based on a roundtrip fare, I really don't think you could just walk up to CO with half a roundtrip and expect them to book you into a walkup seat for no additional charge.