Writing more than one thing at a time can be a challenge. The biggest risk, at least for me, is that I can get thinking about so many things at once that I don't feel "situated" in any of my stories, and that means whatever I write will lack the deep-world feel that I prefer to achieve. There are times when I've spent more than a month bouncing between projects, and it always means that an extra round of revisions is in my future.
I generally like to concentrate on one work at a time. If I keep my focus tight, I can get into a good mindset and stay there. I sometimes will even have a tough time readjusting to real-world concerns like going to pick up my kids from school!
However, I like to keep an updated to-do list of all my projects so I can keep track of where I am with them, and potentially be able to switch from one to another. Why? I find that switching from one work to another is a really good way to give my brain a rest from one project and allow it to work subconsciously on solving plotting or structural problems, while not feeling like I'm losing time to "writer's block."
When a novel is out for critique, it's the perfect time to be turning one's attention aside (since it's pointless to keep working on the novel until hearing back from people) and working on other things. A critique window can give you a very nice window to slam hard on another story that needs serious structural work.
Often what I do is keep a list of my projects in terms of where they are in their state of completion (world design, story idea, drafting, revising, etc.). That way I'll have a rough idea of which ones would benefit most from being worked on. I generally keep a list of the stories I'm working on based on how close they are to completion, but that isn't the only factor that enters into deciding which one to work on. I also factor in how close they are to being saleable. For example, if I've been invited to submit a story, it moves up the list even if it's in early stages, because I know someone out there is asking to see it. And of course there is also the Muse. The feeling of inspiration - or lack of it - is the complicating factor that tends to keep me from ever being entirely systematic or organized about the order in which I work on stories.
How do you organize the projects you're working on?