What I do is install grub only with my main distro (redhat) and copy the kernels for the other distros (currentlt LFS and ArchLinux, but always changing) in my redhat boot partition, and in grub.conf, point the kernels to their proper partition. Not sure if this is the "correct" way to do it but it works fine.
Here's how I do it:
title Red Hat Linux (2.4.18-14)
kernel /vmlinuz-2.4.18-14 ro root=LABEL=/ hdd=ide-scsi
title linux from scratch (2.4.20)
kernel /linuxbot ro root=/dev/hda6
title Archlinux (2.4.20)
kernel /archkernel ro root=/dev/hda7