Actually, you could do just about as well with three airlines as one for building status, based on the airlines you listed. Since NW is already one of your preferred airlines, concentrate all your non-NW flying, if possible, between CO and Delta, and make sure those flights are credited to your NW account. This may also force you into some less-than-direct routings with the flights you normally fly on UA now, which will increase your miles and segments, perhaps without increasing your cost.