First, it is a feature of all the Newfangled wizards that they let you build a cumulative program. You can run as many sub-wizards as many times as needed and they will all build in one file. When you finally exit from the wizard you will have one big file that does it all. Just remember, each time you run the wizards they build the same filename, so if you create a big file you want to re-use be sure to save it before you run the wizards again.
The multiple pockets will work, but each deeper pocket will assume the top of work is at z zero, so it will do a lot of 'air cutting' as it works its way down. There have been requests for setting the top of work at something other than zero, but Ive been afraid to do it because there are a lot of ways that could generate code that breaks tools and I hate doing that.
Depending on the depth of each pocket you might be able to fake it with setting the depth for each pocket to be made in one cut For something like the turners cube this could work, since each pocket is not deep.