Yup. Most of the time flight aware or flight stats can help you out. Pop in the flight number and the airline and you'll be able to see the segments.
If there's a schedule change between now and the flight you're considering (your flight times won't line up, even if the number does), you'll need to dig a little more. You can go to
http://www.southwest.com/flight/request-schedule.html and download the schedule for your departure/arrival airport. Search for the flight number and you should be able to find the relevant segments.
Alternately, you can select the flight, click "price selected flights" and the next screen will show you the stop, like this.
10:00 AM Oakland, CA (OAK) to
Stops in Kansas City, MO
04:50 PM Arrive in St. Louis, MO (STL)
05:35 PM Change in St. Louis, MO (STL)
08:50 PM Orlando, FL (MCO)