DXSDK_DIR can be set per-user. Instead of launching Visual Studio directly, you can launch it from a batch file which will read like:

set INCLUDE=%DXSDK_DIR%\include;%INCLUDE%set LIB=%DXSDK_DIR%\lib\x86;%LIB%start "Visual Studio 2008" "C:\Program Files\Microsoft Visual Studio 9.0\Common7\IDE\devenv.exe" /useenv

Or you can have several batch files, each with their own definition of SXSDK_DIR, and then don't need multi-user setups.

Generally it's OK to install a later version when you already have an earlier one installed. Things might get a little messed up if you try to use utils like the earlier control panel with your later runtimes though, but that would happen if your runtime version was newer than your control panel version anyway.

If it really bothers you, you could just extract the headers and libs from the SDK installer (using 7-zip, for example) and point your project at those. Another, cleaner, way of handling it might be with VMs (VMWare Player does very nice hardware accelerated graphics even on machines that don't have hardware virtualisation). Lots of options.