I will wash natural colors or similar colors together but am very careful with darker colors. Blue/red/purple tend to bleed and I always wash them by themselves. These days I tend to wash one by one because it gts too wet or dirty and I'll just wash it then and there.
I would not let them soak for too long - I remember someone who left her in overnight and the covers were damaged by the harshness of her water - holes if I remember. I usually let them soak for 15 - 30 minutes and another 30 minutes for lanolizing.
good luck!