I use Skymiles (through Delta), and I can tell you that KLM/Air france are quite hard to deal with for re-claiming miles, BUT for just getting them at check-in, its a formality.
Just use one airline, and claim at check-in from them all. You can also add your number at booking, and you get priority seat selection, and priority boarding, which can be handy for getting seat 2C.
My biggest bug-bear is that you can use all the Skyteam lounges in the world with exception of the KLM ones in Schipol (very selective entry, for Delta its Platinum level only, but only with Elite Pass). Kinda sorry I didn't join KLM Flying Dutchman now, but Delta had the better offer at the time, way back when.
Incidently, Skyteam is an excellent serivce for Dublin airport freq-fliers, as you can use Delta, Continental and Northwest to the USA, and KLM, Air France and Emirites to everywhere else.
Who needs Heathrow?