multiple wireless accelerometers for data acquisition

The Arduino can collect data from only one sensor at a time.

You can print data from several sensors on one line.

So if i am running 5 sensors, does the arduino choose when to accept the data and allocate it to the filename corresponding to that sensor? or does it have to be programmed in? Feel free to just send me a list of points to research as i wouldn't know the names of what i would need to be searching. For example "research state machine approach" throws up a lot more results than "button to stop a program"

and also, what is the best power supply to use if not connected to a computer? was thinking of using an accelerometer connected to a nano and a bluetooth module, powered by 2 x 14250's (1/2 AA Li-ion). could that work?