its more useful one at a time, as if you do find an error, it reduces the amount of time testing by one run through. finding an error with 3 sticks in just says either a stick or a slot is faulty, doesn't tell you which.
Memtest isn't perfect, it only finds errors with the memory chips, not if something is physically wrong with ram sticks. I recently helped someone where memtest found no problems but PC wouldn't boot up with one particular stick in