Shemeska
Adventurer
If I'm playing in any of the campaign settings that have traditionally been part of the Great Wheel cosmology, than yes, I play with them all within the same multiverse. So Greyhawk, FR, Dark Sun, Dragonlance, Ravenloft, Planescape, etc. I don't use Eberron within the Great Wheel since from the start it was created with its own distinct cosmology. I wouldn't include 4e's Nentir Vale quasi-setting within the Great Wheel as it likewise had its own very different cosmology. I also include various other worlds like Ortho that were mentioned as being on the Material Plane in Planescape.
If I'm playing in Golarion, as my current Pathfinder campaign is, I tend to stick with only those worlds that have been part of that cosmology (but with the vaguely detailed assertion that access to other realities is possible, and the main campaign villain is strongly implied to be a what could best be described as a marooned yugoloth/baernaloth more or less shipwrecked in Golarion's multiverse and imprisoned against its will, acting as essentially a misery tourist).
I try to remain true to the original intent of a given cosmology.
If I'm playing in Golarion, as my current Pathfinder campaign is, I tend to stick with only those worlds that have been part of that cosmology (but with the vaguely detailed assertion that access to other realities is possible, and the main campaign villain is strongly implied to be a what could best be described as a marooned yugoloth/baernaloth more or less shipwrecked in Golarion's multiverse and imprisoned against its will, acting as essentially a misery tourist).
I try to remain true to the original intent of a given cosmology.