I've done this many times over the years. Skiplagging was traditionally called "Hidden City Ticketing". When I lived in PDX and my now-wife lived in Hoboken, I would routinely book a PDX-NYC-xxx connection then simply tell the gate agent as I got off the plane in NYC that I would not be taking the connecting flight. Was never asked why. Usually just a "Thank's for letting us know."
It was even better when United codeshared with Amtrak. PDX-EWR could run $300-400. I could book PDX-EWR-PHL with EWR-PHL being operated by Amtrak for under $200. I would get off the plane in EWR, skip the Amtrak segment then within 24 hours or so, a credit for the unused Amtrak ticket ( $30 or so) would show up in my Amtrak account.
It's already been mentioned that if you're doing this, you shouldn't check a bag. There are exceptions to that rule: If you book an international itinerary to the US or Canada, you can check your bag. Say you booked MXP-JFK-CVG because it was cheaper than the MXP-JFK you wanted. Everybody has to claim their bags at JFK when clearing customs/immigration. No worries about your bag going to CVG without you. Don't try this from airports with pre-clearance like DUB, SNN, AUH or when heading to ATL.