I did this for the first time last year. I used miles to upgrade on the transatlantic flight to munich on united and then got an unrelated ticket onto Portugal. So here is my experience - I left a TON of time between flights. Our Munich flight landed at 7:00 am and the Portugal Flight left at 2:00. So we had a LOT of time to kill in the Munich Airport. We ate, shopped and napped on the benches. My DH said it was torture and wouldn't do it again. I thought it was OK and well worth the money saved. So depends on your tolerance for aggravation I guess. ON the way back, we went to munich in the pm and spent the night at the airport hotel kempinski so the next morning all we had was the international flight. Overall - I would do it again. No issues, but lots of time to kill. However, for full disclosure, we are headed to Moscow in November and my husband really really didn't want to do the separate flight thing again so we spent way more on connecting flights. But we're spending about 4 times the amount of money!!!

Thanks everyone. I guess I'll just ticket all the way through in coach and take a sleeping pill.

The one ticket does not necessarily result in ´the airline taking care of everything´. As I found out to my cost last Xmas at Heathrow. Nor does all business class.

The only (mostly) safe way is the one airline but not always practical or possible or affordable.