Thanks for the replies...

It's actually still cheaper to fly the extra two segments, as detailed below:

BOM-JFK-BOM on Delta alone is about $3450.
CMB-BOM-JFK-BOM-CMB with the two extra segments is about $2500.

So it's about 2/3rd the price. I do need to fly BOM-JFK-BOM often enough, so I'll use the return segment at a later date to fly from CMB again.

Tinkybelle, the main reason is that most premium fares from CMB are much cheaper than from anywhere in India (and the world in fact) so I could easily use the return later... In that sense I'm lucky enough to live close to CMB with relatively short and cheap flights from BOM, where the difference in premium fares being so substantial makes it all worth it.

Of course, it would mean adding the cost for the extra flight from BOM-CMB-BOM as well, but it still turns out to be cheaper, since I can pick up one of those for about $200. If I halve that, since I'll use the return segment for my next journey later in the year, I still save about $850...