A few skills are at play here. One: Making sure that each character is clear and distinct from the one played before. Two: Making sure that the new characters still relate to the scene at hand.
In terms of making new characters clear, there's a few mechanics to it. They should occupy a distinct different physical place. They should also be clearly physically or vocally different. If I step out and speak a few lines in my normal voice, and then step over a few feet and continue speaking in my normal voice, then as far as anyone knows I've only played one character. We should also take care as to how we move in between characters - I don't want to run so quick that people think I'm sweep editing the scene from within, or so slow that people think I'm just moving in character to a new place on stage. An efficient walk in "neutral" should help communicate that, but it's something that will need to be drilled so that everyone knows what it looks like.
An exercise: Take three players and set up seven chairs, in a row. We're at a movie theater or a sporting event or something like that. Kyle sits in the first chair, and begins playing a character. Lewis sits next to Kyle, and plays a character that reacts and responds to Kyle. They interact for a bit, and then Neal sits in the third chair playing a character that reacts and responds to Lewis. Soon Kyle can get up and move to the fourth chair, playing a new character that responds to Neal. So on and so forth, until all seven chairs have seven distinct characters. Now Kyle, Lewis, and Neal can move freely between their chairs, allowing all seven characters to interact. This should help us practice the mechanics of multiple character scenes. The chair set-up keeps it simple, soon we can remove it and just let people go.
