What I usually do is buy everything online in advance. All of it. That is, I select all my flights, both ways, and all legs. For example, I flew from Baltimore to to Kalispell MT, with a stop at Minneapolis both ways. That is, two flights out, two flight back. I picked four flights and four seats. They totaled it up and put it all on one itinerary and one bill. I paid once. I never got a "ticket". It is not needed. All you need is the confirmation number they show (they also e-mail it to the address you type it). With this number you can check all the information at any time.
When I got at the Baltimore airport I went to the bag check-in place and inserted my credit card into the machine. It allowed me to pay the bag fee (I cannot recall if I had to pay twice, though, for both legs), and printed two boarding passes, one for Baltimore to Minneapolis, and another for Minneapolis to Kalispell. I showed my ID and the passes to the agent who the took my bag, tagged it, and sent it on its way. I took my passes and went to security, and showed them my first pass and ID. I then went to the gate and boarded the plane, after showing the gate-agent my boarding pass (which they scan with a bar code reader).
When I landed in Minneapolis I walked to the next flight and showed the gate-agent my boarding pass for my second flight.
When I returned a week later, I went through the exact same procedures, in reverse.
