I think Southwest is pretty particular about what kind of ticket you buy.
They only sell direct, and if you visit their site you will see they are very specific about "internet saver" fares being non-refundable.
Now - there is NEVER any harm in asking when you get to the airport. But I am sure it depends on what kind of ticket you buy.
I am the editor, but I also speculate, ask questions and play devil's advocate. I reserve the right to change my mind.