I've done it several times before without issue. As already mentioned I wouldn't do it on a same day return or late arrival one day and early return the next day but othwise if it makes more sense for your financially, then do it.

Actually for those that do collect miles, some airlines give the same online booking bonus for a one way as they do for a round trip, so if the one way is half of the round trip then you can get your bonus twice booking that way even on the same airline.