I'm only dual-boxing, but I believe that my principles should be fairly extensible.

First thing I did was write a macro for my alt(s) to target my main's target.

[code:1]GENERIC ASSIST FOCUS MACRO

/assist focus[/code:1]
I'll have my main target something, then broadcast the "targeting" macro to all my characters (shockbeta suggested using the tilde (~) key, and it works nicely).

Next, I needed to assign a focus. I used something like this:

[code:1]SET MAIN FOCUS MACRO

/target {Main Character's Name}
/focus
/targetlasttarget[/code:1]
With this macro, I can instantly set focus (even in battle) without losing my target. You'll have to click this button once per session (perhaps more if you lose your focus).

I also went ahead and made another macro for each of my characters (I assume you would make 4 more), and those simply set the focus to each of your characters, so you can make any of your characters the "leader."

Running around was simple.

[code:1]FOLLOW FOCUS MACRO

/target focus
/follow
/targetlasttarget[/code:1]
With those macros, it was easy to target, move, and cast spells without too much hassle.

I set them to the same hotkeys for all of the characters (it doesn't matter if your leader follows himself or assists himself).

To play, I would simply target an enemy with my main, hit my assist focus macro (~), then cast like normal—no need for individual spell macros.

If your main dies, just hit one of the other set focus macros and keep dominating!

As for looting, I just have my main loot everything and use my other characters as more bags. When my main gets full, I trade to the other characters. It might be a good idea to pool your characters' money at first and just buy some Mageweave Bags off the AH as soon as you can. They should only be around 1g (probably less, if you're on an established server).

I am following Joanna's Horde Leveling guide and doing all the quests (even the collection ones), just because it's fast, concise, and I get to grind a lot. I'm playing two warlocks, so I just target, pet attack, Immolate, Curse of Agony, Corruption (if it's instantcast), then Shadowbolt spam until dead. Wash, rinse, repeat.

With 3 warlocks, you should be able to just throw DoTs and go, and that should go faster. You'll just have to come back through and pick up the loot.