you put them up for sale in the domains heading and pay for the listing in the usual ebay way. ebay help features will advise you the step-wise procedure.
normally I would say sedo over afternic but with the new active exchange afternic/buydomains combo they may do a lot better now, based on the first week of sales from them http://www.dnjournal.com/domainsales.htm I'll be anxious to see tomorrow night if the streak continues or just a lucky first week, list at both and anywhere else you can find as there is no such thing as too much publicity when looking for a sale.
just be careful in your listing, and you can list at all three. However, if you set an acceptable selling price or a reserve, you might be setting yourself up. If listed multiple places with a price, you could potentially get two buyers and have to honor two contracts with one domain. This won't work. If you list open ended at all, you can just reject or ignore the second offer if you already accepted one.
As far as I know, only greatdomains.com requires an exclusive listing.
I've had about the reverse experience vis-a-vis Sedo<>Afternic, although Sedo had picked up in the last month. It's unfortunate that Sedo are slower than a tortoise with 3 legs at completing transactions.