There's really no one size fits all answer to this. It much depends on what fare you paid and how much it will refare to. So we'll need more data points

Presumably you're looking at a 100 change fee plus a fare difference for the change if you want to change this traditionally. This would be the cleanest approach, but could be expensive if fares have gone up.

The next approach which you mentioned would be buying a new EWR-ORD-EWR ticket to "connect" with your SFO-EWR. You run the risk of misconnecting on separate tickets, and technically you'd be SOL. Though since you're all on CO, I doubt CO would throw the book at you. Especially if you're in SFO, and SFO-EWR is late, and you've checked in all the way through to ORD and have all BPs in your hand. So I kind of like this option, as I have a feeling this may be the most cost effective.

The throw-away approach is really not recommended as it's against the rules. Though if the fares are very high to do it legitimately, it may be tempting. However, if you buy the new ticket on CO, CO will technically have a record of what you did. So, while I would not recommend this, if you're going to do it, do it on UA or AA or something for SFO-ORD.

So, if you want more help figuring this out, you'll need to let us know:

1. What you paid for the ticket
2. What your desired new ticket would cost (straight up)
3. What the EWR-ORD-EWR new ticket would cost
4. What a standalone SFO-ORD, and ORD-EWR would cost