You use as many displacement sets as you need. Usually if you have one thermal analysis, you have one one displacement set if you are modeling a boundary condition that moves due to equipment growth. If you have two temperature sets, then probably two displacement sets. CAESAR II will recommend T1 & D1 together and T2 & D2 together. And so on...

If, however, you are modeling anchor settlement then you will save a displacement set just for that and maybe include it in all analyses.

In your case you may want to run something like W+P1+T1+D1 and W+P1+T1-D1 if the displacements are all opposite. Otherwise put the +Z's in D1 and the -Z's in D2 and use them where you want (e.g. W+P1+T1+D1 and W+P1+T1+D2).

Always check the results to confirm that your boundary conditions react as you expect.