I've done this before a couple of times. 99% of the time it is an accident because I have already scheduled a trip to/from my client and something comes up that I have to take a trip in between. I've called the plat line before and they've told me no problem, but then again I wasn't trying to get around any fare rules. They probably wouldn't be able to tell that after the fact anyway.

They have even checked my luggage all the way through for me, but I always make sure that the agent is in a good mood before I ask them to do that . A grumpy agent may give you a hard time or make your life miserable to match theirs and make you retreive and recheck. Just make sure you have enough padding in your schedule if that were to happen.

The only potential problem that you will have is if the first segment is delayed and causes you to miss your "connecting" flight. Since it's not a connection, they won't have to do much for you - you technically look like you no showed for your "original" flight. That happened to me very recently and I was lucky that it was domestic and there were lots of standby options.