Ive had a few 3-way battles, all with the guys I works with.
We've normally run it like this -
Set up table as normal. Deployment is 2 corners on same table edge and 2 in center of opposite edge
All three of of us roll off - Winner picks his deployment
2 guys roll off again, winner picks his deployment zone
Order of play is same as deployment, and everyone gets to try and seize against guy goin before them
Everything else we play as normal, except for combat, in which everyone fights in each others combat phase. Some of the fights get pretty brutal.
Also, what normally happens is I ignore 1 guy and throw my whole force against my Sup(just to see his tears) and he has to focus against me and then the other guy just cleans up.
We never bother with objectives, but sometimes we do "Relic" missions or use tactical objective cards.
What works a bit better is two on one. So 1 army of 2500 vs a combined army of two 1250 lists.
But it does tend to get s bit messy, I don't think there is really a way around that.