<<It seems I can only have 1 open at a time.>>
If you mean "I can only have one copy of Fiddler open at a time", then
yes, that's the case.
For now, you can load multiple SAZ captures and compare them inline:
1> Load file #1 using File > Load Archive.
2> Hit CTRL+A, then CTRL+1 to flag all sessions from file #1.
3> Load file #2 using File > Load Archive.
4> Select all unflagged sessions from file #2, and hit CTRL+2 to flag
them in blue.
5> Now, click the URL column to sort the entire set on URL.
6> You then get a view where the matching URIs are paired up.
7> You can then use the context menu to individually WinDiff matching
requests.
In the future, there will be a SAZDiffer extension which makes this
process easier.
-Eric