Booking a flight with a connection is nearly always a cheaper option, especially on longer-haul flights. The best thing to do is to uncheck the "direct flights only" option on your flight booking website's search engine, and have a look to see if the flights shown are any cheaper. However, there is a degree of risk involved in this method of getting cheap air tickets. If one of your earlier flights is delayed, this could mean that you miss a later connecting flight.