Several motors simultaneously - what is the best strategy?

I have to control 4 servo motor, simultanously.

The motors has to move in different speeds each one.

So, I don't know what would be the best strategy for deal with it... since the different speeds implies in different 'delay' values... but at the same time all the motors has to move together.

If you are talking about standard servos that only move ~180 deg, you will need to look at the "sweep" servo example as a way to change the rotation speed. Sometime back a person posted a library that allowed control of servo rotation speed. Operating several servos at the same time would probably not work with using any "delay" in the code.