I would study one at at a time. But you will have to take multiple exams at once. Go through the books, learn the info and do practice papers. Most of the books have mini revision books that you can use afterwards with more practice papers in and the main points.
The exam system (though your flight school should have explained this) is set up in sessions. You have a total of 6 sessions and each session is 10 days long and you have to get all exams done within that time.
There are also some good apps you can get for on the go training that give good practice paper questions.
Raab