I thought in a past article in some magazine I read about guys in TX using "Through Clearances." I think it was more of an agreement with the center controllers for them to allow it.

Personally, I just file individual legs for reasons listed above. When I flew freight, I'd get my clearance on my taxi-in at all the controlled fields, and use clearance delivery at uncontrolled ones, and let them know your going to be quick turning.