I have taken all three to petsmart before.... of course, i took the stroller! I don't think I could do all three on leashes... especially if it is busy with other dogs and their owners.
When DH is with me, we use a blanket in the bottom of a cart and all three are in the cart (with leashes on of course). I can keep the leashes taught enough that they don't jump out ... they really don't try to, but I am very cautious. They are away from other dogs, and can still enjoy the attention from all their "fans".