It’s actually really easy, here’s how I’ve set it up:
Install the XCode 3.2.3 with iOS4 in /Developer
Install XCode 3.2.2 with iPhone OS 3.2 in /Developer322
Install latest XCode 4.0 developer preview in /DeveloperBeta
This makes it trivially easy to support the older SDKs and toolsets for handling your legacy iPhone applications.