Essentially it is a common program with interchangeable miles - as long as you just pick one program for all your SkyTeam earnings. If you already are in Delta Skymiles, just use that number for all your travel on DL as well as CO, NW, AF, etc.
Don't make the mistake of booking your Continental flights to Continental Onepass, , your Delta flights to Delta Skymiles, your Northwest flights to Northwest WorldPerks. You'll just spread them out and get to an award level that much later. Just pick one and use it for all of them in that alliance.
Unless of course you're one of the FT high-end road warriors who fly 200,000 miles a year