idealflyer,

You won't be able to credit the miles to CO, KLM, or NW(in this case). You can credit the miles to BA, but unless you're flying on a full fare Y ticket you're only going to recieve 25% of the miles.

You won't receive any priority treatment as a result of any of the elite memberships you listed. Even thought HP and BA are partners on certain routes, BA Golds are treated just like non HP elites since HP elite status isn't recognized on BA flights.

You can upgrade your flight 30 hours before departure by paying for it. Check out the First Rate page at America West.

I assume you're stopping in PHX or LAS. If in PHX you may access the America West club if you're a NW Club member. HP has a club in LAS, but it's outside of security.