I always do. Usually nonstop down on jet blue from boston and back on american thru miami because I like to leave aruba at 9:30 am and be back in boston by 4:30 pm. I also use united ff miles. not the best connections but the price is right. You'll always do better $$$ if you mix n match. usair can have decent rates as well. weekdays are better too.
No problem booking one way tickets on different airlines. However, make sure that you have your return confirmation with you. You cannot travel to Aruba without a return ticket. Of course, the ticket person doesn't always ask, but you want to be prepared. Even though I don't need a return ticket because I have residency, they would not let me check in at Jetblue curbside in Boston without the return ticket.
The only challenge you will have is if you have to change you flight. If so, you will have to pay $150 on each airline as a change fee. I was a travel agent for several years so I always look into this situations when traveling. You never know.