You can do that if you want, but since there are several characters in each world (and each of them has their own lives to lead), it might get boring after a while - after all, they don't know exactly what's going on with the other characters..!
That's why we've created more than one world - so that you can switch between stories if you like. But every character still knows things only known by the others (like where to find specific items, or who is hiding behind particular doors) - this means that they're all connected!