You don't need to book separate tickets. Delta.com will let you do this on a single ticket. Just need to use the multi-city search option. I just picked some random dates and went like this:
Leg 1:
BHX-
YUL on June 11
Leg 2:
YUL-
MCO on June 11
Leg 3:
MCO-
BHX on Novemeber 20
Final price was 651 GBP -- How does that compare to the one-way fares you were getting from
KL? When you do multi-city itineraries on Delta it doesn't show you the price until the very end, so it's possible that there are other combinations of flights (and especially dates) that would have a lower price. I've had good luck using the multi-city search tools on Orbitz or Travelocity to figure out the best price combinations. Then you can either book through them or go find the same flights on Delta's site.
The outbound itinerary I put together was like this. The connection in
YUL is a little tight, but that appeared to be the only option that didn't require an overnight stop:
DL 9415 11:20
BHX 13:30
AMS 737
DL 9393 15:25
AMS 16:45
YUL M11
DL 5136 18:06
YUL 20:55
ATL CR9
DL 1769 22:50
ATL 00:16
ATL 752
I created two 3-stop flights like this last year, and had a couple glitches that I'll warn you about. First, I flew
CPH-
AMS-
YVR-
SLC-
BZN. The agent in
CPH was able to check my bags through to
BZN, but had trouble getting my boarding passes for the last two legs. She advised me to pick them up from
DL at
YVR. Upon arriving at
YVR, I proceeded directly to USA customs pre-clearance, where there was a kiosk to print my boarding pass. The trouble was that the kiosk couldn't print my boarding pass either--I had to see an agent because there was something unusual about seat selection.
AC had an agent there to help with their connection customers, and she phoned
DL's on-call agent to come over and help me, but
DL wasn't answering their phone. After waiting a while and trying again, I went back out and cleared Canadian immigration and went to the land-side
DL check-in to get my boarding passes so that I could go back to USA pre-clearance. The
DL agents apologized profusely and said that there was a funny error with my record that they had never seen before. So this is unlikely to happen to you, but something to think about. On the other hand, the nice thing about going through Canada to get to the US is that (at least at
YVR) you don't have to claim checked bags at the first point of entry like you do if you clear customs inside the USA. You get off of the inbound flight and take only your carry-on bags to USA pre-clearance. But that leads me to the problem with my second such flight.
The second itinerary was
EDI-
AMS-
MSP-
SLC-
BZN (took that routing to get home in time for dinner, as there didn't seem to be any other itinerary that day that would get home until about midnight). Everything was fine with boarding passes, but the ticket agent at
EDI couldn't tag our bags all the way through. I told her that the
CPH station did it without problem (they actually had to put two separate tags on my bag, because their format won't handle 4 flights on one tag). She still couldn't figure it out, so she tagged the bags to
MSP, where we had to claim them in customs anyway. It was pretty painless to recheck the bags in
MSP at the post-customs bag drop, but if you ran into the same issue at
YUL, I'm not sure how it would work.