Yes you really should use an external power supply to effectively use multiple servos. You can't just move one and then deselect (unpower it) it because it will lose all holding torque and be subject to moving from the mechanical load.
Most R/C applications that are using lots of servos (or extra large landing gear type servos) often use a 6 volt power for just the servos as they are rated for that and it gives them extra force and speed.
Lefty