Plugging in LA to Chicago on AmTrak only gives me the Coast Starlight if I then take the Empire Builder. Assume I can get around that by booking to SF first. Is it hard to get from SF to Emeryville?
This can't be right. Southwest Chief runs daily directly between LA and Chicago. Three days a week the Texas Eagle also run directly between LA and Chicago, but takes an extra day.
The problem with going to Chicago via the Coast Starlight is that it arrives in northern California too late to connect with the California Zephyr to Chicago (unlike some rail planners, Amtrak does not book overnight connections in one reservation). I like your idea, but what I would do is take the CSL, and spend at least one night in the Northern California and then transfer to the CZ. You can do this anywhere between Emeryville and Sacramento.
You asked about the cost of booking all the way from origin to destination, rather than breaking up the trip. While "through" fares may be a little less, in my opinion this would be overwhelmed by the day to day fluctuations in price, especially for sleepers. What I'm saying is
Booking one ticket (the normal way) EMY to CHI departing on day x and arriving on day x+ 2 (it takes two nights) might be cheaper than booking two tickets EMY to Denver and then DEN to CHI on the
same train. But EMY to DEN departing on day x and DEN to CHI departing on day x+3 could be cheaper.