shaders

You can only have 1 vertex shader and 1 pixel shader active at the same time. You can't have the runtime "combine" shaders for you, because the runtime would have no idea how to combine two abstract concepts like "skinning" and "normal mapping". You'll need to create a matched set of a vertex and pixel shader that accomplishes what you want...which means either combining the code manually or creating/using some sort of tool that assembles full shaders from HLSL fragments.

When you set a shader for the device, it remains active for any DrawPrimitive/DrawIndexedPrimitive callsyou make until you set a new shader. So you can set a shader, draw some geometry, switch the shader, and then draw some more. Typically you'll want to minimize shader switching as much as possible, as it adds CPU overhead.