Yes, buying a combination of tickets to/from one of the intermediate stations lowers the price, but it restricts you to trains that call at the station.
Typically you are restricted to 2 express trains per hour (tph) by splitting at Harlow Town or Bishops Stortford, or 1 express tph at Stansted Mountfitchet.
There is also the option of buying a ticket to Elsenham and 'stopping short', which is permitted. I do not normally advise buying tickets to alternative destinations to start/finish short because this can result in Train Companies removing the 'anomaly' (there are various methods they can use), however this particular anomaly has already been extremely well publicised.