Let's suppose i have RT ticket with 4 legs, and i want to credit first two legs to LH, and last two legs to SK. Is it possible ? Will there be some difficulties and complications ? Has anybody actually tried that ?

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.

It's definately possible. One of my friend did it. He flew YYZ-HKG rt on AC. Credited the outbound on Aeroplan and credited the return on to his UA account. And yes he told me he did it by providing his card at check-in both times rather than providing them at the time of making the reservation.

yes, possible

I did it often with Star-rtw tickets (credit to Mileage Plus, the next one with the same carrier to miles&more) when the 2 programs had the same promotions running (fly NNN Star-carriers and get NNNN bonus miles) I did fly 2 segments with each Star-carrier on one rtw ticket and always made sure that one segment per carrier was credited to Mileage Plus, the other one to miles&more. So I did get the bonus of up to 200'000 miles in both programs with one ticket.

To get some perks (like waitlisted upgrades, etc) that go with status, enter when ordering the ticket your preferred (the one with better status) program for the whole trip.

* if you check-in for 2 (or more) legs without stopover in between, than present the card you want to be used at the first check-in (you will get all boarding cards then with that FT number on it),

* after the first segment flown, befor boarding the second segment, go to a transit desk (of to the lounge) and let the second segment be changed (often they will just do this in their computer system and not hand you over a new boarding pass showing the other number, but if he credit later on doesn't show upin your account this is more risky),

* etc. etc.

Yes it is possible. I have several *A FFPs and routinely (try to) optimise earning against the vagaries of the various programs.

In theory it should be simple. In practice it often isn't.