Is it something like this (below) ? I'm not finished reading yet but I'm just trying to understand if I'm on the right path...
Red, shadow map 1, Green, shadow map 2, Blue, shadow map 3. Detail decreasing down the shadow map number. Arrows represent cameras
That's right. Render all cascades to a single depth stencil target (example size: 4096x1024) using viewports to draw to the correct part of the depth stencil target.
There's a good example implementation in the DirectX SDK 2007 and a lot of topics in this forums about it (like this one).