Gosh, I'm so sorry, I forgot to discuss that part.
It's difficult to decide exactly the best course of action here. Do you think there's any chance you'll ever want/need the three photos separately, but with the identical backgrounds? If so, do the three separate files exactly as I have done, then merge them into one later.
But if you're confident you'll only ever need them as one combined photo, merge them together first, then add the blue background on top. Around each head you'll need to use the various 'tricks' as shown in my files.