Day return Donny-New Mills £16.40. Is this any cheaper by splitting?
Possibly.
"Splitting" the journey into a combination of tickets may work.
The easiest way to identify places to "split" is to either use opentraintimes.com to find the calling points or use a WebTIS website (e.g.
EC,
LM etc) and click the info (i) button next to the itinerary you want, then tick 'show all calling points', this shows the places where you could "split" the journey into a combination of tickets (note the train must call on the return journey too). Examples here include all the stations on Northern stopping trains between Doncaster & Sheffield (if you are happy to restrict yourself to those trains and avoid XC/TPE) and all the stations on the Northern stoppers between Sheffield & New Mills.
Also the £16.40 ticket you quote for a Doncaster-New Mills Ctl Anytime Day Return is poor value at £16.40. As you are travelling off-peak (a Saturday) then a Doncaster-Stockport Off Peak Day Return at £15.90 is not only 50p cheaper but also allows you to take a direct TPE service if you wish.
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I could get a day return from Donny to New Mills, then buy the explorer on the train.
Bear in mind that, if the ticket office is open, if you choose not to purchase a ticket/combination of tickets for your whole journey then you may be denied the opportunity to purchase a Ranger on board, as this is a leisure product, not a full-fare product.