Thanks for all the replies.
I won't use O'Leary. Just a personal thing.
The plan I had through FCO or LIN is ok with me and I reckoned it was probably the way to go. It's not actually all that expensive. And with EI and AZ it works any day and the times suit. Alitalia are decent enough if you book a good bit in advance. I was just trying to avoid the security thing twice in the one trip really!!
Thanks again for all the replies.