I think the best advice is to sign up with them all. You will most likely go with an airline naturally (more flights, cheaper, better connections). But if you find a good deal on one airline that is not your main airline, you can still earn miles.

I have AA as my main and UA and CO as my back-ups. Sometimes my flights have to go on one of the back-ups and as least I know I am still getting miles even if not the status