Are you referring to congressional races and the like? One can vote Constitution Party for the presidency and GOP for Congress. The CP isn't even fielding candidates in the vast majority of congressional districts.
You're presuming, wrongly, (a) that a split will not depress conservative tunrout (it would) and (b) that OTHER third parties won't be running down-ticket candidates that won't split off the vote.
Bottom line: a split conservative vote gives the Democrats all three branches of goobermint, and they will make sure next time that they NEVER lose it.