Yes, it is in principle possible. The first step is NOT to provide a FF # at booking time to avoid complications down the line and provide your FF # at check-in instead. If two of your legs are the outward and the other two the return then it should not create any problems. If, OTOH, you want connecting flights to be credited to different programs, it is also in principle possible but requires particular vigilance. Process is basically the same. Check your BPs. If one of them shows your FF # in the wrong program, have it changed at the gate for it show the right #. In principle this should work but agents sometimes make error.