They've restricted it slightly: now you have to notify them at least 10 minutes before the flight. But still no penalties - I really hope they don't have to do away with that policy since that's the main thing I like about Southwest.
After that, you get nothing. It's in the contract. I think it's only been that way for 2 years or so.
However it's still a good idea to book each individual flight in a different transaction. Avoids any shennanigans on the airline's part for no-shows and there's no downside for the passenger other than a slightly longer booking process.