I have booked seperate once when we had a 4 day stop in NY but if you are not stopping over then book it all together.
It is sometimes possible to do a stopover even if you book it all together. It was offered us as a free option ( we would just pay for hotel) a couple of years ago when we booked with Airline Network. We were going to stop over in Washington DC for 2 nights on our way home from. Unfortunately, BMI changed our flights on the outbound journey and the subsequent problems with the agent caused us to cancel the flight all together and go with US Airways via Philly. We decide we weren't bothered about a stopover in Philly, so we didn't actually do it in the end.