I have no personal experience with hidden cities (as this practice is called) with DL. I would imagine that if you did it rarely, nothing would happen. If you made a habbit of it, perhaps it would set off some trigger in the DL computers, thereby getting your account auditted. Note if you do it on your outbound/originating flight, the hidden city practice will often cancel out the rest of your reservation. If that happens, it depends on the agent you get as to whether they'll re-enstate it......or figure your doing the hidden city thing and charge you full fare for your return.

I would think it would be easier to catch with e-tickets.

The practice is not illegal so far as the law is concerned, but it violates the airlines rules. If they audit your account, they will likely take miles away, etc.