The only "incentive" against it is that you have to sign an affidavit that specifically says you didn't participate in the caucus, and the party ballot you choose is public record (although caucus participation is not).
Wait, if you're a democrat you have to choose whether you vote in the caucus or the primary, you can't do both?
That don't make no sense
Sorry, I was unclear. The affidavit has you testify that you did/will not participate in the other party's nomination process. That is, if you vote in the Republican primary, you have to affirm that you didn't participate in the
Democratic caucus.
There's several hundred of people who participated in the Democratic caucus in 2008 but voted in the Republican primary, so there's plenty of people who weren't stopped. You can only find out about that if you have access to the party's databases, anyway.