I've considered this myself before.
Read the airline's fine print for what they will accept responsibility for. I think I looked up Southwest and the way I read it they took no responsibility and provided no value for damage or lost if not in a suitcase. I kind of stopped thinking about it after that.
I have never had any claimable damage or lost luggage for any flight. And I have taken boxes with me on Southwest flights.
The bigger issue would be if you get to the airport and they say it won't be allowed in checked or carryon luggage. Those items you should be able to talk to the airline in advance to see what they have to screen for and get a sense of confidence if it is OK or not.