Don't airline companies really frown upon this practice? I can't recall if they can actually do something about it though.
I see two potential problems. First, you probably shouldn't do this as the first part of a roundtrip ticket, as the airline can cancel your return if they think you're abusing the system. That may not be important for many people, but it's there. Second, if something goes wrong (bad weather, can't find a pilot, whatever) the airline may reroute you through a different city, completely screwing up your plan. They don'…
A note on the roundtrip booking - correct, you should never book roundtrip. Your roundtrip should be made up from two one-way bookings.