Can't really get any savings without changing onto the slow GN train at Peterborough. And to get that to save a significant sum seems to involve splitting at: Hebden Bridge, Wakefield, Doncaster and Peterborough for the best deal (or that's the best I can do using the most 'obvious' splitting points). But does it save enough to justify it? I wouldn't say so.
The through 'not via London' ticket appears to offer the best value for Saturday leisure travel, whether it's the cheapest or others can do better is another matter. That said the ability to go via London is only about £9 extra and I might be tempted by that, or if I find myself waiting a significant period of time at Stevenage might do a change of route excess to effectively increase the frequency of the return service