This is an interesting question and thanks so much for posting it. I used to order one size only when I lived in the UK as I knew my sizes with various brands, it was then a matter of K/R based on whether I actually liked the product. To be honest, even though I saw the ladies here do it, the thought of ordering different sizes didn't even occur to me until I wanted to re-order a new pair of skinniness - the pattern had changed slightly in two consecutive seasons and the new one was a bit baggier so I had to size down. I was really annoyed I had to spend money on shipping twice.
Right now, having changed the country and consequently being in position to re/learn about the brands that I'll be getting things from, I realize I'll have to implement this tactic of ordering multiple sizes. My main concern is what Denise brought up - cost adds up and multiplying things in one order takes the total waaay up there. Also, keeping track of when the difference will be credited back to my account is just one more thing to keep thinking about and my current life mission is to keep things simple.
But, I met a local lady who told me that this is exactly how she shops for herself and her kids and there is nothing to feel uncomfortable about. So, we'll see how it works once I place that first order