I do what you intend to do all the time. I've never had a problem with it. I think you will be OK as long as you CANCEL the sector that you will not be taking in advance. Never fail to turn up for a flight. That's bad for the airline and if you fail to show, any onward connections could get automatically cancelled.
The problem with Open Jaw tickets is that they sometimes are more expensive than round trips. Otherwise I'd take them instead.
[This message has been edited by Austman (edited 04-26-99).]