Powering multiple servos on external battery
If you dont mind to use a bit of space for a dedicated board that controls your servo and power them, I would suggest to use http://www.adafruit.com/product/815 which is very good.

Your issue might become a power draining where the batteries cant keep up to give enough amper to use 3 or 4 servos at the same time.

I am not sure what kind of batteries you are using, probably not rechargeable ones but I would suggest to get an ampermeter to get the real draining on your circuit.

After that you will understand a bit better what is going on and why this issue is happening on your configuration.

I cant find the power consummation of this servo so I Cant give much more information.