I thought I needed to do some tricks in order to put them all together, but it turns out none is needed. The following is cited from README:

Installing multiple versions
----------------------------

On Unix and Mac systems if you intend to install multiple versions of Python
using the same installation prefix (--prefix argument to the configure
script) you must take care that your primary python executable is not
overwritten by the installation of a different versio.  All files and
directories installed using "make altinstall" contain the major and minor
version and can thus live side-by-side.  "make install" also creates
${prefix}/bin/python which refers to ${prefix}/bin/pythonX.Y.  If you intend
to install multiple versions using the same prefix you must decide which
version (if any) is your "primary" version.  Install that version using
"make install".  Install all other versions using "make altinstall".

For example, if you want to install Python 2.5, 2.6 and 3.0 with 2.6 being
the primary version, you would execute "make install" in your 2.6 build
directory and "make altinstall" in the others.

All I did is:
./configure --prefix=/usr
make
su -c "make altinstall"
for both Python 2.6.1 and Python 3.0.

Since Python 3.0 is compatible with current any Python programs, never make install Python 3.0 unless you are 100% sure your system doesn't use Python scripts for system maintenance. On Fedora, Yum is very important Python script. If you have done, rpm and Koji are your savers.

As you can see on Koji, Python 2.6 seems to be the primary version on Fedora 11.

When I make 2.6, there are few bits missing:
Failed to find the necessary bits to build these modules:
bsddb185           dl                 imageop
sunaudiodev
To find the necessary bits, look in setup.py in detect_modules() for the module's name.

After checked the setup.py, I think they are not necessary on my system.