If you have all of them, you only need to upgrade the sites by opening your domain files with iWeb 09 - you don't have to go through iWeb 08 as far as I am aware.
However, I'm not sure how you can have 3 different versions of iWeb on one computer? Once you upgrade iLife, it will upgrade everything and not just leave 3 separate version of iWeb.
The iWeb updaters and installers will only affect the application that is named "iWeb.app". If you rename one iWeb 2.0.4 or iWeb 3.0.2 it wil not be affected. So it's possible to have multiple versons of an iApp on a Mac.
The big problem is not opening a domain file with a later version if you want it to remain at the earlier version. Must use care.