My strategy was to develop large miles balances in both the Star Alliance and One World Alliances, to last us through our retirement. We have done this through our UA and AS accounts.
We also maintain a few hundred thousand miles each on AA and NWA for the following reasons:
A. It is sometimes easier to get awards using an airline's own miles.
B. For upgrades in the event it just makes a lot more sense to fly AA or NWA, like, for instance Dallas, St. Louis., or Minneapolis.
Of course, now that AS has decided to spread its wings beyond the Northwest we have a lot more options for direct flights out of Seattle than we did when I started to play the game.