I am both Miles and More Senator (will be ditched after next year by me) and EuroBogus Diamond. The fact that I haven't been blacklisted by any airline shows that this is perfectly well possible.

What you should do to maintain or gain status with airlines is to do some tactical booking. With between 48 and 120 flights per year you should be more than able to become EBG (or even EBD) and remain M&M Silver.

I am situated in Oslo. What I do to remain diamond is this:
Check which airline is executing the flights. It's the metal that counts, so if the booking is (partially) operated by SAS, then I'd register it on EuroBogus. Given that SAS already gives you at least 1000 points on a flight to Europe (1500 to Switzerland), independent of booking class and that LH or LX only give you 750 even for expensive economy, the choice should be easy.
When it comes to registering points from LH or LX on EuroBogus, I experienced that EB actually gives you much better value for money than M&M on the cheapest booking classes (at least 150, or distance in miles divided by four, even in Europe), where M&M always gives extremely little for flights operated by SAS. 125 or so for economy, independent of booking class.
If you're flying for example with LH to Frankfurt and with Sk back to Stockholm, then you can just register your outbound leg on M&M and change frequent flyer schedule to SK on the return leg. I've done this a few times.
The only disadvantage: you can only register a sequence of flights once. So if you fly ARN-FRA-ZRH on SK and LX, then you should calculate what fits best. You can't change Frequent Flyer program in FRA for the next leg (at least, I never succeeded).
Your suggestion to retrocredit the legs with the respective airlines instead of registering a program in advance is a good one, as long as you don't want any silver or gold benefits during your flights. To me (except priority luggage, which SK always screws up big time) those benefits make flying bearable.
Trying to retrocredit your flights to both programs won't get you anywhere. I did so in the past, sometimes I was lucky and got the extra points (not too often, though), but SK and LH fixed something in the system that prevents you from doing so.

I completely agree with livious: despite that it's possible to register only frequent flyer status instead of frequent flyer points, SAS cannot handle that. But get used to it: SAS cannot handle a lot of things, it's really three qualities less than Swiss.

If you want to get to gold fast on SK, then I can advise you to make a few flights via CPH. I've done so. Usually excuses like better flight schedules or cheaper tickets are perfectly acceptable. Each leg counts towards achieving gold status, so make it twice as fast. 12,5 return bookings from ARN via CPH will do (or even less, as Switzerland gives a lot of points on SK). You might even book a few tickets in Plus, as they sometimes are cheaper than Go and give double points. Trust me, you don't want just SK silver, as it has almost no benefits anymore (just a shiny card). Neither does it have a high threshold, by the way.

I hope this helps. Let me know if you need to know more.