I believe someone has already thought of this, as at one point I believe I saw a script in bfg miner that allowed this. The idea is that a miner collects money for shares from a pool but once a block is found, it collects the 25 (or whatever it may be as of reading this) BTC to a wallet instead of trading it for a share. My question is, if this has been implemented, why are pools finding blocks. Or is it that the code was removed and most have not thought of doing so. Or am I missing something, maybe this is not possible.
A pool won't give you shares for mining for yourself. You don't know in advance whether you're going to find a block, a share, or nothing at all.