Skipping the last segment is more like "throw-away ticketing." I've done it here and there with no problems.

Definitely, do not check your bags, or if you do, check them in to SAN only... also, if there are any schedule changes between now and then, you may be able to re-schedule that last segment for the next day--making it easier for you to skip it.

As others said, do call the airline and let them know of you CXL.