Hi Daniel,
The first idea would be to repeat the open/transfer three times but it will be quicker to do open dataset the first time, then call an operating system command or batch to copy to the other directories.
This can be done by calling function module SXPG_CALL_SYSTEM. The commands available can be seen in SM49 but, if necessary, you can create new ones.
These are operating system-specific and some are OK for all OSs (ANYOS).
Hope this helps.