I’ve done it a few times. Sometimes it just makes sense, especially if you are repositioning to start the trip. But be prepared for if it goes wrong. Like if your first return flight is cancelled and they put you on a flight with another city connection or direct to your final destination.

There are all sorts of dire warnings on what the airlines will supposedly do to you if they catch you, but I’m not as convinced of their competency in tracking why people miss a flight.