It's perhaps a little difficult to give good advice without knowing more, but I'm going to guess that your award goals are basically limited to getting free flights between your primary residence and your place in Mexico. When you vacation it'll likely be at your new home. So you don't need points for a place to stay, you're just looking to get there for free.

You've already identified the fact that Alaska partners with both CO and AA. So accumulating miles on Alaska will let you redeem to BJX on either carrier.

Accumulating AA, though, will let you redeem on Mexicana which flies to BJX.
Accumulating CO will let you redeem on Aeromexico which flies to BJX.

However, there's some uncertainty as to what the future will bring for the two Mexican carriers, since major stakes in them could be sold and the identity of the buyer may wind up determining who the airline(s) partner with.

So ...

AS = redeem on CO, AA
AA = redeem on MX, AA
CO = redeem on CO, AM

Let's throw in a monkey wrench. You could choose to earn DL miles instead of CO miles and you can still redeem on CO or AM.

Here's what I'd do if I were you.

If a large portion of my credit card spending was at the grocery store, the post office, etc. (the things that Amex calls "everyday spending") then I'd make the Delta Amex my primary credit card and accumulate Delta miles. Specific kinds of purchases earn double miles all time time with the Delta Amex, and the card runs plenty of double miles promos on top. Then everytime I flew Delta, Continental, Northwest, or Alaska I'd credit the flights to my Delta account.

If most of my spending didn't center around those things that the DL Amex offers double miles for every day, I'd use the Starwood Amex as my primary card and I'd have the option of transferring miles to Alaska, American, Delta, Continental, Mexicana, etc. -- I could choose later, and points transfer 1:1 plus when you transfer 20k points you get 5k bonus miles (total of 25k miles, for an earning ratio of 1.25 miles per dollar spent). I'd probably use Alaska as my primary program because of the local partnerships available in Washington state that other programs won't match, plus you say you do fly Continental and you can credit those CO flights to your Alaska account.