I use ISBoxer and Jamba now and collection quests are much easier. Actually, I don't mind doing them now. I used to use keyclone and Jamba, it took a bit longer but collection quests are manageable. I'll "drive" with one toon finish the collection quest, then drive with another and finish the quest with it... etc. I've never played with HKN, but if it has a screen swap function, I've found that useful in doing collections.

There are a couple of quest guides out there that are specific to multiboxing. I'd check those out. As a whole, multiboxers tend to skip the collection quests if possible. I don't anymore because ISBoxer has made collections quite a bit easier.