As you are presumably aware, 'splitting' requires that the train stops at the station where your tickets 'join' (or 'split') [unless you hold a season ticket etc.], so there are not many places you COULD split a ticket between Durham & Edinburgh! (They'll all stop at Newcastle, most at Berwick, and only some will stop at Morpeth, Alnwick or Dunbar).
I have sometimes managed to save a little by splitting at Berwick when travelling between Newcastle & Edinburgh, though this is usually due to there still being allocations of cheap Advance tickets for the 2 journeys to & from Berwick, whereas the straight through cheap Advance tickets have gone.
Anyway, having just had a look on the EC website, I see that there are still some £8 and £12 Advance tickets available for many weekdays in Jan for the direct journey (undiscounted prices). So splitting isn't going to get any cheaper than that!
Also, there are only 2 trains northbound between 9 & 10am and as for returning late in the evening, the last will leave Edin. at 9pm.
