It can be done, and if its freerolls, it does not matter, because you can not lose. But for regular games I prefer to play at only one site at a time. I find it to messy and confusing to have to arrange tables from multible sites and adjust to the different software from hand to hand. And also there is just not a lot of reason to do it, unless its to play freerolls, or you are a full time professional player. For me as a part-time player I can find more than enough action on PokerStars.