Here's how I did it a number of years ago..

Interviewed at Commutair, got job on spot, no class date, accepted.
Interviewed at ASA, job offered with class date 3 months away. Accepted over phone.
Interviewed at Air whiskey. No offer at interview. Called the week after, offered job, no class.. Accepted. 2 weeks later, offered class and accepted..

Called Commutair chief pilot and told him thank you for opportunity but that I was exploring another option.. Called Karl Baxter at Asa, thanked him for all he had done for me (interviewed a 19 year old despite age 21 minimum) and told him whiskey offered a sooner date. He's a great guy if you're gonna go XJT by the way.. He was cool and wished me well at whiskey..

And here we are today.. Accept every offer you get but keep in contact with the people doing the offering. I was lucky that hiring at the time wasn't moving really fast, so I was able to have time between interview and class. But, trust me, these guys know candidates are interviewing multiple places.